The warning message was like this:
Even I had not noticed like anything in the past, I did a little research on the topic. The browser was trying to load some MHTML page.MHTML is simply a MIME HTML format, used to combine all the external resources, which are generally loaded as external link, with HTML code into a single file. Generally this file has extension as .mht. So any .mht file contains mix of HTML code and other objects such as, Flash, images, applets, audio files etc. The content of .mht file is encoded in base64. (Wiki)
So when you are requesting a .mht file it will be loaded into multipart one-by-one, as the file may be large. Also, to minimize the lots of GET requests to server, it can be used. So IE uses mhtml:http:// format to request such type of files from the server. But again IE strips the mhtml part and makes the normal GET request to the web server. Again when it gets the response from the server again it prefixes the mhtml before it. So for example, if you request mhtml://http://abc.com/anyFile.mht, IE interprets the mhtml request for multipart/related content and sends a normal GET request to the server as http://abc.com/anyFile.mht. After receiving the response back it again prefixes with mhtml as mhtml:http://abc.com/anyFile.mht.
So, regarding his case, there was some script injection vulnerability with the way the Windows treats the MHTML long ago. So, Microsoft came up with a lock-down solution for the MHTML being used in the URL. Now you can’t use mhtml in urls/hyperlinks if that fix is applied on the server. But still MHTML can works behind the scene, the only thing is you can never request it as mhtml:http://. Generally .mht doesn’t contain script but if it contains that and the lock-down for the MHTML is applied on the server, it pops-up a message like you faced: “This webpage is trying to communicate with your computer using a protocol that your security setting don’t allow”. You can simply allow the pop-up by clicking yes to be rendered option. No harm in that.
So in his case, it may be the browser is trying to access some url in the mhtml:http:// format and mhtml have been locked down on the remote server or in your IE settings, that could be a reason you are getting the pop-up alert.
Again, all the above observations are based on my google, might not be 100% correct, but one might have got the picture a bit. So nothing malicious in that request.