The bar is informing you of a problem. The problem is that the web site is using https: but is referencing content that it is downloading over http: (unsecure). This creates a security hole, which IE disables and doesn't offer a way to get around it.
You can, of course disable the message, but it doesn't fix the actual problem. This page tells you how.
Depends on which site is throwing the mixed content warning, and what content is actually coming down over http (versus https). Without that info, it's hard to say if it really is risky or not.
the solution is: open Tools, Internet options, Security tab,Custom level bottom, Scroll the list till you find the option Display mixed content then chose Disable