Either you have some HTTP content on there (Google Analytics or perhaps some custom code in a Content Editor Web Part) or you are using the White Site Theme “Simple” which has a flaw in it (http://blogs.msdn.com/sridhara/archive/2007/07/03/ie-warning-message-box-quot-this-page-contains-both-secure-and-nonsecure-items-quot-when-applying-quot-simple-quot-theme-on-a-sharepoint-site-protected-with-https.aspx).

Or… you have MOSS and have MySites configured but it is on an http URL and SharePoint is trying to render some content from there, such as your profile picture.

The following article walks you how to check your page source content, to find the offending HTTP entry if it is none of the above.

http://blog.httpwatch.com/2009/04/23/fixing-the-ie-8-warning-do-you-want-to-view-only-the-webpage-content-that-was-delivered-securely/