Internet Explorer security pop up

Hi everyone!
Why am I always getting pop up on Internet Explorer security every time I open it? My Internet explorer is in "protected mode" and I tried to click don't allow but I'm still getting it. Same thing happened when I click "allow". Even if I check mark the “Do not show me warning for this program again", it always pops up when I open Internet Explorer.
What will I do to avoid this?
Thank you so much in advance.
Here is a screenshot to enlighten you on what I am talking about:

