Causes
You are trying to open a link to a file or an url, and the program is indicating that this is not allowed since the file extension or the url scheme is considered unsecure.
The program allows to open links only if the files or the url are considered secure; a list of all file extensions and url scheme considered secure is accessible and editable by the user, and it can be found under Tools menu -> Program Options -> Advanced
Solutions
The extension of the file (the final part, such as for example ".odf", ".xlsm") or the url scheme (the initial part, such as for example "http://") your are trying to open is not included in the files considered secure.
If you wish for your file extension to be considered secure, you can add it in the Tools menu -> Program Options -> Advanced