Thanks to all of you folks to reply with valuable information. I reviewed and tried to use all the suggestions and somehow I got no security pop-up.
If I use Automatic Detection then it SAPGUI opens in a new browser without any pop-up BUT I need to open it in its own external window. I have gone through some links that say in order to open SAPGui in external window I need to use SAP SHortcut file.
I am attaching the screenshot that shows the configuration I have for that iView and its behavior.
Please suggest how can I get rid of that open file pop-up. I added two entries in the SAPGUI launch security settings (highlighted in the screenshot) but it didn't help it either.
Thanks