Protected mode

Hi everyone
Please can anyone assist in basic terms.
I keep getting this message

it's usually messenger but I've also had it for ASdobe systems and IE it's self.
As far as I know I've always had protected mode on but this has only happened the last couple of days.
The first time it started I did a go back and it appeared to work but tried that again last night to no avail, it's frustrating as it's happening when I close most explorer pages.

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