For a very long time, it seemed as through every site I visited with IE9 created an annoying prompt about secure content and encourage me to show all content. I’ve seen fixes that involve lowering your security etc., but never thought THAT was worth the risk. I had an “Ah HA!” moment while troubleshooting a similar annoyance with a wordpress plugin. It turns out that this issue occurs if you are logged into Facebook using https (and you should be using https) and have elected to always stay logged in that since nearly every site in the world has a Facebook Like button or some tie in to Facebook.
My solution? (Edited 8/9/2011) Stay logged into Facebook with Firefox, but NOT with IE. And strictly use Firefox for Facebook. (And note that this warning does not happen when I use Firefox to browse other sites while still logged into Facebook because Firefox is displaying mixed content by default.). Microsoft has other solutions posted, but they involve allowing mixed content to kill the prompt, or not allowing it ever (which kills the prompt) and even adding Facebook’s https site to the trusted zone. I prefer to use IE for financial sites and keep prompts and elect to only display secure content. And I am not by any means advocating dumping IE9.
I’m almost always running at least two browsers, but I just had not figured out what was causing OE to behave this way. There may be similar situations with other Facebook type sites or plugins, but with Facebook being by far the most widespread, my solution solves 99% of the problem for me. Now I know, and if you didn’t know this before, I hope this is helpful.