This happens when items on the page, be it images or includes are from outside your SSL protected folder/s - to avoid this 1. do not use a shared SSL but purchase one for specifically for the site - they only cost between 50 and $90 and are well worth it. This post to our blog goes into a little more detail why -
http://blog.cartweaver.com/index.cfm?newsid=5
Next, if you do have an SSL for the site, have your host install it into the root directory of your site, thus protecting the entire site, images and all. This will get rid of the warning you mentioned.