How do I display the dialog box with the warning message on secure Web page in Internet Explorer?

How do I display the dialog box with the warning message on secure Web page in Internet Explorer?
or
How do I display the [Security Alert] on a secure Web page dialog box?

--Warning message--
"Security Alert:
You are about to leave a secure Internet connection. It will be possible for others to view nformation you send. Do you want to continue?
In the future, do not show this warning.
Yes No More Info"

To display the [Security Alert] dialog box, please refer to the following procedures.

--Procedure--
1) Right-click on the [Internet Explorer] icon on the desktop, and then click [Properties].

2) Click the [Advanced] tab.

3) Clear the [Warn if changing between secure and not secure mode] checkbox in the [Settings] box.

4) Click [OK].