Before we can begin to help, we need some more information about your system configuration.
Can you take a screenshot of what you are refering to?
Does the website have an https:// prefix?
Are you using Internet Explorer 6, Internet Explorer 7, Firefox, etc. ?
Do you use a proxy to connect to the internet?
Is this a home machine, or is it on a corporate network?
Do you have Windows XP Service Pack 2 installed?
Does this happen on one site only, or does it happen on all secured sites?
Hope we can help,