Before I explain how, you should understand what it's warning you about. You will see this warning whenever HTTP (non-secured) elements are displayed on an HTTPS (secured) web page, which means these elements are not encrypted. Typically, these elements are just embedded images, but they could also be areas of the page where information can be entered.
By clicking Yes (the default), you will only see the secure areas of the page and will know what areas are secured. If you disable the warning, you will not know which (if any) of the elements are the page are not secured.
- Click Tools > Internet Options
- Click the Security tab
- Click the Internet zone and click the Custom Level button
- Scroll down to the Miscellaneous area and change Display mixed content (shown on the left) from Prompt to Enable
- Click OK