Windows 2008 R2 makes this task a bit tricky. My solution consists of creating vbs code to execute the bginfo.exe with command line switches disabling then re-enabling the security settings in Windows. Remember that the only path that has to stay the same is where you copy the bginfo.vbs file to. All the rest can be modified. If you want to do this for multiple computers/servers on a domain you may want to put these files in \\mydomain\netlogon.
Here is the vbs code you will need for an easy cut/paste:
Set objWshShell = CreateObject( "WScript.Shell" )
set oEnv = objWshShell.Environment("PROCESS")
oEnv("SEE_MASK_NOZONECHECKS") = 1
objWshShell.Run "c:\Toolbox\BgInfo\Bginfo.exe c:\Toolbox\BgInfo\desktop.bgi /timer 0 /silent /accepteula",0,True