You get this message from MSIE because the page has a mixture of secure and insecure content.
To locate for these elements of the markup (unless they are obvious now that you know what to look for), use FireBug (requires that you use FireFox instead of MSIE/Chrome) or just press
CTRL+uin MSIE to analyze the markup. In the markup, search for inline/embedded content hyperlinked with URLs starting with
http: (instead of
If all your links are internal (i.e. pointing to stuff below the webroot of the same server), you can eliminate the problem by dropping the scheme element of the URL (as suggested in a comment below by @JohnathanElmore).
In other words: if your server is
example.com and you currently have the following URL reference as part of your theme:
you should replace it with the following:
I can't tell you exactly how to go about making these replacements without knowing what you can and cannot do on your site. (If it was my site, I would simply edit the theme templates and clear alll caches. But I've no way of knowing whether this option is available to you.)