When you have websites that use https
connections, and some of the content inside the page comes from non-https sites (basic http), you'll see that warning.
Many sites today are switching to https by default, meaning everything will be encrypted between their servers and you. Unfortunately many 3rd party apps (like games in facebook) still rely on basic http requests to their servers in order to pull some data. So basically the page is only "partially-secure" ... with the potential of not being even slightly secure.
Many times you can simply ignore the message and press on... just keep in mind that some of the content is sent/received without ANY encryption... and potentially even data that was sent securely could be re-transmitted insecurely.
Potentially virii on your computer could also be proxying traffic in your web-browser and putting advertisements/scripts/etc on pages that under normal situations would have none.