That message is the main reason I don't want to use Internet Explorer anymore, and it's my fault that it comes up. At some point while I was downloading/installing an update, I got a page of questions and this was one of them - asking me if I wanted a warning every time a webpage is trying to open a site. I rue the day I checked "yes", even though I didn't really understand the ramifications of it.
I had no idea that it was going to ask me this eight times - yes, you read right - eight times to get into my OWN blog. Can you beat that?
I was hoping that some techie wizards would know where I go to uncheck the original question on this??!! Even though I vastly prefer Firefox, there are times when it is expedient for me to use IE, and I'd like to do so with less aggravation.