Security Warning

The current Web page is trying to open a site in your Trusted sites list. Do you want to allow this?

Yes/No

Warning: allowing this can expose your computer to security risks. If you don't trust the current Web page, choose No.

What's this all about? Why would it ask such a question? Why would it think there's something wrong with a site on my Trusted list (whatever that is)? Why would it ask this question of sites on my Trusted list and not sites that aren't on it?