The Cause
  
  Anytime you get the security error
  about some content not being secure,
  it is because something is being
  linked to that is coming from a
  non-HTTPS (insecure) connection.
  Tracking it down led us to see that it
  was some CSS tags that allow for PNG
  transparency in IE6 and IE7, using the
  CSS "filter" property and the
  "AlphaImageLoader" plugin. Here's the
  particular line of code:
filter: progid:DXImageTransform.Microsoft.AlphaImageLoader(src='images/facebox/tr.png', sizingMethod='scale');
  
  The Solution
  
  So the solution is to use a full
  secure URL with "HTTPS://" to the png
  image. IE sees that AlphaImageLoader
  as a plugin. And all plugins in IE 6,7
  are required to only reference cached
  images. The images cached are not
  HTTPS (or secure), and so the secure
  content error popup is shown when the
  AlphaImageLoader requests the images.
  So the following request worked
  correctly.
 filter: progid:DXImageTransform.Microsoft.AlphaImageLoader (src='https://www.livingroad.com/images/facebox/tr.png', sizingMethod='scale');
  
  Oh, and don't try to use spaces in
  the URL for the AlphaImageLoader! This
  is another known bug in the plugin.
From http://david-oliver-cooper.com/internet-programming/90-alphaimageloader-ssl-support-in-ie6-and-ie7.html