This problem is quiet easy to solve. It simply makes sure it's impossible to access the file outside of joomla / mambo.
Example: When you try to reach
http://www.yoursite.com/joomla/components/com_login/login.phpit will output the same error as you've got now.
But when you try this:
http://www.yoursite.com/joomla/index.php?option=com_login&Itemid=27The component will appear

(ofcourse the Itemid= depends on what joomla gives it)
This means that joomla will open components/com_login/login.php for you instead of trying to open it yourself, wich is not allowed

You have the option to create a new menu item and link it with a component.
When you do this you are given the option to open it in a new window.
This works, but it will open the entire site in a new window, so to be honest, even I don't understand why they have given such an option :/
Ofcourse you can always try this little trick, but I won't garranty if it will work, if it does, let me know

1| Go to your admin panel
2| Make sure your component is inside the list of components
3| Go to Menu -> Main menu
4| Click New to create a new menu item
5| Check Component in the next window
6| Give the menu item a new and link it to your component
7| Now go to your homepage
8| When you click on the new button you've just created it will open your component inside joomla, but that doesn't matter.
9| Locate your mouse on the button you've created.
10| Right-click on it en copy it's shortcut.
11| Now go back to your admin panel
12| Go to Menu -> Main menu
13| Unpublish the menu item you've created, but don't remove it!
14| Again create a new menu item.
15| This time check Link-Url
16| Use Ctrl+V behind Url
You will see some url like this:
http://www.yoursite.com/index.php?option=com_yourcom&Itemid=somenumberNow change this to:
javascript:popUp('
http://www.yoursite.com/index.php?option=com_yourcom&Itemid=somenumber')
17| Save the menu item and publish it.
18| Go to your homepage again and check if it works
As I said: I realy have no idea if this will work, but you can always give it a try
