this is typical behavior when you have the UAC on.
To turn off these error messages, make sure you have a good anti-virus package, spyware detector and personal firewall and you can set UAC to Never Notify by going to Start > Control panel Action center, click the Change User Account Control Settings and move the slider to Never Notify.
This is if you are an experienced user and do not download torrents
I also receive this dialog box on very rare occasions. It sometimes appears when I try to extract files using Universal Extractor also.
Not sure of the reason why, will have to wait until I get the message again. Must be a setting in IE, went through all options including Advanced, couldn't locate anything. If I can bring the dialog box up, I have several programs that can help me identify it. It doesn't happen when I click on a Internet shortcut, however.
There must be a setting to turn it off.
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