Some additional questions have been raised here and elsewhere about what precisely causes the "Unspecified Potential Security Risk" dialog - the one from Internet Explorer that looks like:
This page has an unspecified potential security risk.
Would you like to continue?
The dialog is displayed when the setting "Launching applications and unsafe files" is set to "Prompt" for the security zone that Windows / Internet Explorer believes itself to be operating in.
Changing the setting to "Enable" for the specific zone eliminates the dialog, while changing the setting to "Disable" produces a "Security Alert" dialog stating that "Your current security settings do not allow this action."