Thank you for your response.
It means that it involves opening the folder with an exe or dll file in contrary to instructions provided for ESET Smart Security? ...(Drops connection when you are trying to open an executable file (.exe, .dll, ...) from a shared folder on the server that does not belong to the Trusted zone in Personal firewall. Note that copying executable files from trusted sources can be legitimate. On the other hand, this detection should mitigate risks from unwanted opening a file on a malicious server, for example caused by clicking a user on a link to a shared malicious executable file.)
Just to clarify the trusted source does not must mean or entail a trusted zone or it does ? I may have a server that I am using infrequently or rarely so I don't want to add it to a trusted zone..