Note that the warning is genuine, if not a little annoying. For example, hit something as simple as https://www.microsoft.com
and note that you will actually get that warning in IE8 (but not Chrome or Firefox). The reason is that the page contains references to images *and webtrends files* that are NOT stored on an HTTPS page, but are being served from an HTTP page instead - thus making the page *technically* insecure if you allow the content. The reason IE warns you is that it wants to know if you want the insecure (HTTP) content to be downloaded and run, along with all of the secure (HTTPS) content. Basically it's a security risk to allow both of these things to run at the same time, because it could (potentially) allow malicious content served from an HTTP site to access page content that would otherwise be secure over HTTPS. Disabling this will, of course, disable the warning - however, it *is* a security risk that you will no longer be consulted on - it will simply allow the HTTP content to load from an HTTPS page.
It would be better, if you're going to change the mixed content setting, to change it to "disabled" rather than "enabled". You still will avoid the prompt, but you'll be in the secure setting (only allowing HTTPS content on an HTTPS page), rather than insecure (allowing all HTTP content on an HTTPS page). Chrome, Firefox, etc already have the equivalent of "disabled" set, which is why you don't get prompted (of course, you don't get the HTTP content either, which could affect the rendering of the page), so this is technically the better choice.