This can happen from a lot of different things, but this is what was blocking access for me:
Microsoft Security Essentials (MSE)... I had to clear out the file list in the security essentials so it prompted me to choose the action (allow/block) for the file..
Copy file from shared folder onto desktop > double click file .. or simply run it from the shared folder. No permission changes to the file are necessary.
If the file is a new file to MSE, it'll ask you to block or allow. I chose allow. Then choose yes to the Windows 7 prompt to allow the file to run.
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I did learn some things. Windows 7 Home Premium is useless. You can't access the Microsoft Management Console to add the User/User Group snap-in to add/remove users to Wiindows user groups. This is irrelevant to my answer, but it will help someone who is messing with tools/services in Windows 7 Home Premium that don't have access to certain groups. So in order to see user groups and users it has to be done from the command prompt.
See groups:
net localgroup
See users in a group:
net localgroup Users (this is an example of how to find the INTERACTIVE user from a previous answer)
add user to user group:
net localgroup {usergroup} {username} /add