Yes, if you use IE you do.
The .NET Framework assigns trust levels to managed assemblies. These assignments are based, in part, on the zone where the assembly runs. The standard zones are My Computer, Local Intranet, Internet, Trusted Sites, and Untrusted Sites. You may have to increase or decrease the trust level that is associated with one of these zones. The .NET Framework includes tools for adjusting these settings.
For additional information about adjusting the trust assigned to a zone, click the following article number to view the article in the Microsoft Knowledge Base:
) HOW TO: Adjust .NET Framework Security on a Zone-by-Zone Basis