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I can't be sure what the message means without knowing what is says.
In general, for a web browser, a 'secure connection' means an encrypted connection. It's very important to have a secure connection to a website to ensure that third parties cannot see and tamper with the data going to and from your browser. For example, if you're sending confidential information to an unsecured website, like your credit card data to an online store, the data can be stolen by a third party.
To see if you have a secure connection, look at your browser's address bar: The URL begins with https - the 's' means 'secure.' In addition, web browsers put a symbol before the URL to indicate that the connection is secure. In Google Chrome, for example, the symbol is a lock. You can click on that symbol for more information.
By now, most websites are secure, but some are not. It's always safer to browse with a secure connection. Unfortunately, many otherwise secure websites include content from third parties, usually advertising, that is not transmitted securely.
