I was also getting that message since switching to IE8 and I also think it's quite annoying, especially since I'm getting this over and over on sites I've been to a thousand times and know are safe. After seeing it a few times, I was going, "alright already, enough". I have been trying to figure out how to turn that damn thing off. The IE8 help section is pretty worthless, didn't even refer or reference that message. I could have lived with it if it were more comprehensive and asked if you wanted to turn the message off for the site or something. Another one of those deals where Microsoft treats everyone like they're a dumb ***.
I just tried that "mixed content" setting and it works! Thank you very much, I'm much less annoyed now, heh heh (even though my wife still says I'm annoying).