Problem:
This message is triggered only in IE, when non-secure (http) resource is called in a secure page (https).
Eg: a non-secure website into an iframe of a secure website, or a non-secure image in a secure website.
Note: older IE browsers will display the following message:
"Do you want to display nonsecure items?"
Solutions:
To fix, you can change the default setting of IE.
1. Goto IE > Tools > Internet Options > Security
2. Select 'Security' tab
3. Click 'Custom Level'
4. In the 'Miscellaneous' section change "Display mixed content" to Enable
Or in the case of download non-secure image to secure website, just change the image's url to use https, which will prevent the warning from appearing.
For more information, see here.