VB6/SQL Server Application Runs Locally, But Not From Server

I have a VB6 SP6 MDAC 2.8 application talking to SQL Server 2000. Once I've
installed this application on my local machine I have been able to move the
..exe file to a file server and it runs just fine from there for all my local
users. This is very handy for updating the application without having to
reinstall it on each user's machine each time. They just use a shortcut
pointing to the file server .exe file

My problem has become that we have some users at remote locations that VPN
into our network who also want to use this application. When it's installed
locally on their machines, or even on file servers at their locations,
everything works fine. However, when they run the .exe off of my file
server the SQL Server connections times out on the initial connection open
after the default 30 seconds every time. Run from their own desktops or
file servers it connects within 2 seconds every time. This is on both
Windows 2000 and XP Pro machines. Even when I tell the shortcut to use
their local drive for the working directory the same problem happens.

This goes against everything I've seen with server-based files for 15 years.
Once a file is loaded in the computer for execution, why does it matter
where it came from? What "baggage" can an .exe file carry with it that will
cause it to not execute when hosted on one server, but run just fine from
the desktop or another, closer server? The only known difference is that
the connection speed is much better when I run it locally here to that file
server.

Help.