For OL 2003 make sure scripts in shared folders is checked on the Tool>Options>Other>adv options. For OL XP/2002 you can use a reg key:
Follow these steps, and then quit Registry Editor:
1. Click Start, click Run, type regedit, and then click OK.
2. Locate and then click the following key in the registry:
HKEY_CURRENT_USER\Software\Microsoft\Office\10.0\Outlook\Security
3. On the Edit menu, point to New, and then click DWORD Value.
4. Type SharedFolderScript, and then press ENTER.
5. On the Edit menu, click Modify.
6. Type 1, and then click OK.
http://support.microsoft.com/default.aspx?scid=kb;en-us;838871#XSLTH3133120123120121120120
You will close and re-open Outlook.