You can control this with Group Policy, as well. Use gpedit.msc and drill down to
User Configuration\Policies\Administrative Templates\Windows Components\Internet Explorer\Internet Control Panel\Security Page
Enable "Intranet Zone Template" with the Low option.
Then enable "Site to Zone Assignment List" and use the Show button to add your "sites" (servername, servername.domain, ipaddress - the values you enter depend on what name or IP you use to access the share) with a value of 1.
Lastly - and this is the most important step - drill down one folder in gpedit to "Intranet Zone" and enable for "Show security warning for potentially unsafe files", choosing Enable from the drop-down.
Close gpedit, reboot or run gpupdate /force and enjoy no more annoying Windows Security dialogues!