There is a FAQ about cross site scripting, which isn't too technical, at
http://www.cgisecurity.com/xss-faq.html
What it all comes down to is that some sites which deliver dynamic content may have security holes in their scripts which allow someone else to get at content on your computer that they shouldn't be able to access, or to infect your machine with some form of malware.
The message just means that IE has altered some of the code on the page you are looking at to reduce the likelihood of you being affected by that kind of security hole.