A: Yes, you are still completely protected by Anonymizer and can disregard the warning message.
Here's why you get the warning message: Our member page uses a form of protection called SSL to protect your username and password when you enter them. (You can tell a Web page uses SSL when you see "https" instead of "http" in the page URL.) Once you start surfing anonymously (after you type in a URL and click "GO") you leave our SSL-protected member page and go to another Web site. In doing so, you may see the Internet Explorer warning. It just means you are leaving our SSL page and going to a non-SSL Web page (the vast majority of web pages are non-SSL). YOU ARE STILL COMPLETELY PROTECTED BY ANONYMIZER.
Q: What's the difference between SSL and Anonymizer?
A: SSL: Protects info in transit
Anonymizer - Protects information about you