"Information you have entered ..could easily be read by a third party"

websites install cookies to your computer for easy website loading. Some even can track that you are entering there site (for example, facebook, it saves your settings). If you enter a bad site, the browser will usually warn you over that, but otherwise this prompt is not important, unless you are really paranoid. I disable this.

Keep in mind you should always have a virus protection installed.

This prompt more specifically is telling you that people on other "websites" or third parties can see you, as well as the main website (Example, facebook's advertisers). Many websites require this function. If you trust the website, it should be fine. So basically they can see information you enter. Websites that use credit cards usually are more secure so 3rd parties can't see. always use caution when entering info on the internet

More interesting do a Google search for super cookie and have a good read.

sevener said:

Thanks for your answers.
Surprisingly, I had that message on a Google page in a new browser!

It always appears in new browsers (downloads) because you have yet to turn off the notifications. It is harmless enough