Problem: I’ve been trying to fix this for ages. Basically, when logged on as Administrator to my Windows 2003 Server box, using folder redirection (particularly for the Application Data folder, which is where the user’s quick launch is stored – App Data\Microsoft\Internet Explorer\Quick Launch), and redirecting over a share (even though the share is on the same server), clicking any quick launch items brings up an error saying “You may not have the appropriate permissions” etc.
Solution: After lots of googling I found the answer is to add the file server to the ‘Intranet’ zone under the Security tab of Internet Explorer. (i.e. add server or http://server). This will make the quick launch work again. If you want to reload the quick launch, go into task manager and kill explorer.exe, then start it up again.