You've not stated which web browser you're using but I'd be prepared to bet that it's the dreaded Internet Explorer 8.
The simplest solution would be to switch to a decent web browser. Hardly any of the 'regulars', here in AB's Technology section, would touch Internet Explorer with the proverbial bargepole. The majority of people here use Firefox:
http://www.mozilla-europe.org/en/firefox/
(Google's Chrome browser is also quite popular).
if you insist upon using Microsoft's pathetic offering (WHY? WHY? WHY?) you can switch off that message by going to Tools>Internet Options. Click the 'Advanced' tab and, towards the bottom of the list, click to remove the tick alongside "Warn if changing between secure and non secure mode". Click 'Apply' and 'OK'.
Chris