My company has a lot of sites in it's trusted sites zone in order for users to download files from these sites. It kills me when I use my Windows XP SP2 machine and IE. I'd do a google search and one of the results was a link to microsoft. When I clicked the link, I'd get a Security Warning message: The current Web page is trying to open a site in your Trusted sites list. Do you want to allow this?
What was weird about it was that I had NO, not one, site listed in the trusted sites zone. I later found this was because of group policy. A few days later after group policy refreshed on my machine, the sites showed up in the trusted sites list.
To remove this warning, in the trusted sites zone, open the custom settings under Miscellaneous, "Web sites in less privileged web content zone can navigate into this zone." set to enable.
See: Security Warning appears when you try to navigate to a Trusted site from a webpage