Use SSL for the whole page in the first place!
There's nothing wrong with SSL. You should provide user privacy everywhere, not only on login. It makes sense an the whole site. So simply redirect all non-SSL pages to SSL pages and keep everything SSL.
As for the purpose: It's to make you aware that your connection won't be SSL encrypted anymore. You may have seen before that the connection is encrypted and may think that it still is, so this warning says "Just to be clear, whatever data you send from here on will be plaintext".
As for how to suppress it: AFAIK you can't, it's a browser thing, what would be the point of the message otherwise? Even though there are workarounds like client-side redirects, I don't think you should try to work around client "problems" like this. If the browser chooses to be verbose, let it. There's a "Don't show this again" checkbox on the dialog after all If the user wishes to suppress this message he can easily do so, and maybe he actually likes to see it.
Also, IMHO, if the browser was worth its salt it would still pop up this warning, even if you employed client-side redirect tricks.
"How can I avoid this?"
You shouldn't!
Although you could try that with JavaScript. This might work on some browsers and fail on others.
"What's the purpose of this dialog?"
It warns because switching between SSL and non-SSL on websites is usually unexpected by the user. A warning about the "non-SSL to SSL" is not emitted since it increases security and privacy. However, when security is suddenly decreased, the user should notice that quickly, in order to avoid a false feeling of security. In fact, redirecting to a non-SSL site is sometimes used in XSS/MITM attacks.
"SSL is going to cause an increase in traffic / processing power"
This is nonsense. It might be true for sites full of big, static content. However, for normal dynamic web applications, encryption is very cheap compared to business logic, database access, etc.
There is an urban legend saying that SSL-content is not chached by browsers. See "Will web browsers cache content over https" for more information.
"Yahoo does it. Yahoo is a big technical company. Are you smarter than Yahoo?"
Some rhetoric counter-questions:
I've hit this same problem a while back. So I had a look inside fiddler to see how yahoo mail does it. Here's the step I saw (and used on my site):
User fills in SSL encrypted form, and POSTs to the server. Server authenticates, and spits out some script to redirect the client
<script language="JavaScript">
<!--
window.location.replace("~~ non-SSL URL ~~");
// -->
</script>
I figure the client side code is there to avoid this dialog.
Gmail, yahoo, etc. use SSL for an encrypted iframe, which authenticates, but there's none of the in-page redirection you're talking about. The whole page isn't encrypted for these login systems.
Just point your client to the latest attacks against mixed mode content (lookup CookieMonster on fscked.org) and proxy attacks (against sites available both in http and https, lookup Pretty-Bad-Proxy). He might reconsider.
It is much easier to get security right if you only deal with one protocol without mixing the two. SSL adds a bit of overhead, but it is nothing compared to the cost of a breach.
read: http://support.microsoft.com/kb/883740 which says that this is fixed in a hotfix or with a changed registry setting. However, not all the IE6 cpu's we use have this problem, nor do their registry settings correspond to what this article says they should. Also some that give the msg are XPsp3 and IE6 sp3.
We have an https log in screen that uses code to log into 15 other (http) domains and some of our IE6 users have to click 'Yes' 15 times. This is inacceptable to them. No, we cannot control what browser all our users use. Some are not compatible with upgrade to IE7.
We are looking for some config attribute for each user to adjust that will suppress this msg. We've identically configed a 'bad' browser with settings that match one that does not give the msg. Internet and Intranet Security and Advanced settings and Proxies (none).Also Network connections. No joy so far.
Any ideas?