This is generally an error caused by a spyware infestation. It is also caused in Internet Explorer 7.0 going to sites that are less secure... but the error didn't show up in IE 6.
On some computers and setups, it is caused by Zone Alarm and Kerio firewalls.
You can stop the message by opening your internet explorer then going to TOOLS then INTERNET OPTIONS then SECURITY and then uncheck the ENABLE PROTECTED MODE options then close and open your IE7
But I would run antispyware scans from at least three or four souces... panda, computer associates, spyware sweeper, spyware doctor, AVG antispyware, etc.
This is a common error in IE 7.0 that you can avoid by using Firefox 2.0.0.3