IE6 Save Page though share

Come across an issue with ThinApp IE6 created in 4.6.

Seems to be an issue in W7 and Server 2008

Open IE6, File / Save As. try and save anything to a Share I receive an error:  Classfactory cannot supply requested class.

This doesnt have to be a network share, you can created a shortcut locally and receive the same error. 

Has anyone experienced this?

Thanks