This message is created by the bad download blocker for IE, a tool of Spybot-S&D. The feature of the silent bad download blocker in version 1.5 is in a different place than in older versions.

Please open the Tools menu in your Internet Explorer and choose Spybot-S&D - Configuration. There you will find a drop down menu (see screenshot below) where you should select Block all bad pages silently. With that option set the notifications will no longer come up, but you will still have the protection.