BleepingComputer.com: Error message on starting Internet Explorer

When I first enter Internet Explrer (version 7) I get the following error message:
"This page is accessing information that is not under its control. This poses a security threat etc....."

As I say, this happens upon opening IE (Yahoo.com) and before entering any particular sites. I use Win XP Pro.

Any ideas as to what it is and how I get rid of it?

Thanks

Phil

Have you had any malware lately?
Done any scans lately with your current security software?
Do you run SUPERantispyware? http://www.superantispyware.com/
Do you run MalwareBytes Antimalware? http://www.malwarebytes.org/mbam.php
If you do any scanning and find infections - best to post your logs in the Am I Infected? What Do I Do? forum http://www.bleepingcomputer.com/forums/forum103.html