If it is a security warning from Microsoft and does not ask you to go to a website or to buy something (if either is asked then it is not a Microsoft warning), then follow these steps to stop seeing it. The warning is in Internet Explorer and is letting you know that parts of secure web pages are not secure (meaning that information you send from the page is not being sent encrypted and people listening to traffic on the Internet can easily steal information you sent).
1. Go to Tools (fund on the menu bar in Internet Explorer or a cog shaped wheel in IE 9 then choose Internet Options then choose Security
2. Select the Security tab
3. Click the Custom Level button
4. In the Miscellaneous section change the clicked radio button for "Display mixed content" to Enable
If it is appearing with messages about your machine is infected and to buy a product or you need to use some scanner from the Internet then your PC has spyware on it and it needs cleaning. I suggest using superantispyware to clean spyware as it tends to get the spyware others cannot find or cannot clean. It is available free for personal use at superantispyware.com
Thanks to Hershel for the question.