Sounds like youe Internet Explorer may be corrupted , with a virus??
Firefox is a different beast and will give you these messages - usually ok to proceed provided you are happy with the eventual destination web wise.
Run a virus scan and a malware removal programme if poss.
I wouldn't worry about the 'third party can see your info' message.. this usually just means the webpage is not encrypted.. so technically the info can be read by other people.. the only way the internet is totally secure is if you're using encrypted webpages, usually shown by a little lock somewhere on the screen.. but this is only really necessary when paying for things by credit card, or signing into an online bank...
The reason that the message might pop up a lot is because you can click 'don't show this message again'.. most people click that so it stops coming up..