This message is IE9 being a little over-protective. It's hiding the text adverts for you (you should see a # symbol on the screen where they should be...)
IE 8.7 Back button not working
Drop-down list of 'Recent Pages' showed one 'Advertisement' when I first looked - it is now showing two. Most I have seen is three.
IE8 is still working fine with the Hosts mod file in place.
That is because it blocks ALL external content listed in the file .. most of it persistent ad content (it's source)
Shame more folks dont know about the Hosts file.
http://winhelp2002.mvps.org/hosts.htm