You may be seeing the same issue described in the thread below. Looks like this should affect Vista clients; are your clients running Vista OS.
http://social.technet.microsoft.com/Forums/en-US/configmgrswdist/thread/dc7bac7b-5318-45a0-aa8d-cfdd8bd3d35b
Basically the resolution is to right click on the .exe file in the package, bring up its properties window and check if you see an "Unblock" button. If you do see that then Vista is blocking this file from executing; you will need to hit "Unblock" and apply the changes. The following blog site also illustrates this.
http://blog.crowe.co.nz/archive/2007/04/13/719.aspx
Thanks,
Bhaskar