For what ever reason Internet Explorer feels the need to prompt you everytime there is a mix of secured and non-secured content on a webpage. Here are some good directions on how to turn it off.
For more information you can read about it at http://blogs.msdn.com/b/askie/archive/2009/05/14/mixed-content-and-internet-explorer-8-0.aspx
If you are getting this error:
Then follow these directions: