This usually happens when you link to graphics or other resources on other Web sites, using non-SSL connections. Banner ads and counters are among more common elements you may add to your site from other sites.
Since the link to the off-site element is most likely using HTTP instead of HTTPS, your browser informs you that these elements are not encrypted.
You may be able to replace HTTP with HTTPS when linking to these elements; check with the site providing the element to see if SSL is supported.
You can also advise visitors that they can tell their browsers to show non-secure elements. This will not affect the security of any data connections between you and your visitors; credit card information, passwords, and other sensitive data will still be encrypted.