Yes, that happens if you attempt to launch a program from another program. (like entering a web address at the run prompt)
I know that but this current solution sounds a pain next to proxies. Of course, i know that they want to hide all allow/deny popups but i'd like to decide what to do. Fe. see the MS windows media player, what i don't want to go for the Internet (sometimes with it's setup_wm.exe) every time. I only want to allow it to connect to the resources i gave to it (fe. an URL).
I wonder what if they'd create another checkbox as "Allow all activities/Deny all activities". Despite some hijack attempts this'd be very good next to - example - p2p programs.