I have got this warning the last two days when I accessed a live streaming feed...I hadn't previously, seen this message before. I allowed, otherwise I couldn't view.
I can't tell if it's just bad settings or this "DefenseWall" thing just being over protective. What site was the stream on? And yeah, if you're still sticking with WinXP for whatever reason, I wouldn't be using Internet Explorer as your main browser. Use Firefox instead.
The OP doesn't have to use Firefox - that's a Browser wars like recommendation but a more current version of IE should be used.