From time to time, when I try to open an Internet site, an “warning” such as attached here, appears on my screen and stops the site loading.
How can I prevent this annoying warning, is it really necessary and why.
Please advise

Thanks

Unfortunately, you failed to tell us what version of Windows, IE or anything about your computer.

Note that warning is to protect you from possible malicious or compromised sites. There are 3 ways to deal with this,

1. Do nothing - This is recommended for normal use, and for sites you don't visit often,
2. For sites you know to be safe that you visit frequently, add them individually as Trusted Sites to your Trusted Zone,
3. Disable the warnings (not recommended) (See IE8 Warnings).

If you decide to disable these warnings, you MUST ensure you (the weakest link in your security defenses) maintain a disciplined computing practice. See Practicing Safe Computing.