IE Security Alert

Just a few minutes ago, I decided to check some things online. When I turned my monitor back on, I saw a message in the center of the screen that read,"This page has an unspecified potential security risk. Would you like to continue?". The top of the message box said "Internet Explorer". I'm not sure if the message actually was from IE displaying a particular page because I didn't even have IE open at the time. The last time I had IE open was about 30 minutes before I turned my monitor back on. Though, I did have AIM open at the time the message was displayed. I think that maybe the message is related to an ad AIM was trying to display in the box above the buddy list. I didn't click on anything in the message window, I just rebooted my computer just to be on the safe side. So, is this anything I need to be worried about?

I included a pic of the message with my post.

Syzich --This message comes from setting IE Tools|Internet Options|Security|Custom Level for "Launching applications and unsafe files" at Prompt. I get it all the time when I try to open one particular Windows OS folder which I know is not a security problem. But changing that setting to Enable makes IE/Windows hassle you all the time that your security levels are not safe. And checking Disable blocks opening that folder.
I just click the warning off (clicking Yes).
http://mygreenpaste.blogspot.com/200...rity-risk.html

Ok, it seems that it is related to AIM. A few people who commented in the thread you linked to mentioned AIM. I even read something similar on answers.yahoo.com. Though, those people mentioned they saw it when they started AIM. When I saw the message, AIM had already been running for a while.