Can anyone tell me why this message occasionally appears? Should I tell it yes or no?

C:\ProgramFiles\InternetExplorer\iexplore.exe is attempting to change or view this computer's Internet Connection Protection settings. To give C:\Program Files\Internet Explorer\iexplore.exe permnission to edit these settings for as long as the program is open, click YES

I Think this is down to a Security level issue in IE (Not certain )
But looking elsewhere I did find a "Possible" cause of this message (An Educated guess? )
Open IE Tools >Internet Options.
Click on the Advanced Tab.
Scroll down the list until you see the 2 lines that start with "Enable Install on Demand"
The top one is for Internet Explorer:"Enable Install on Demand(Internet Explorer)
The Other is for anything else:"Enable Install on Demand(Other)

The Internet Explorer line should NOT be ticked
But the line below Should be ticked

Press the APPLY button then the OK button to save and exit this window
If that message still appears then repost ?

My guess is that a script (possibly malicious) embedded in a Web page is attempting this and other actions. There is no good reason to allow it, and I suggest you click the "Hell, NO!" button (if this button is missing just click No).

Thanks bedstor. I followed your advise and this computer was set as you advised.

I got this dang warning on my computer at home as well as on this one here in another state. I have Zone Alarm on both, Norton on mine, SpywareBlaster and AdWare on this one. He has let the Norton expire on this one so there are no updates. The warning seems to happen most when I have just clicked to watch a music video on www.cmt.com.

yes, Tom, I have always told it no.