It's probably a result of Gmail defaulting to HTTPS.

Because a secure HTTP connection is used, you need to confirm that you trust the site. At least, that's what I think it is. It could just be your security settings too. I go to that site in IE8 in Windows Vista SP1, and nothing of the sort pops up. That's also the first time I actually went to Gmail in IE, so if anything should have popped up while using the default security settings, then I should have gotten one. Either that or my computer is just crap, which is quite possible since I have Windows installed on it instead of Linux... :p