I thought one of the senior staffs/Moderators should have explained things, clear the air or indicate to look into this by now.
Sorry for the delay, my wife just had our second baby, so I'm still getting a new schedule established!
DvDmanDT is correct: these problems usually slip in through the ad networks. We try to stick to reliable networks so to minimise these sort of problems, and if such a problem is reported with enough details for us to do so we also block individual ads or ad providers for our end. Because the ads are constantly rotated and come from a number of sources these problems are normally very sporadic, so simply reloading the page will usually get you a different ad without the problem.
As long as you've got up-to-date virus and malware protection there shouldn't be any danger in visiting our site.
Please do report these sort of warnings if you get any though and we'll deal with them as best we can. To be able to do anything we need to know the url you were accessing, the specific warning you received, and (if the page was allowed to load) what ads were currently being displayed.