First of all, IE9 doesn't show you the warning to annoy you or because of a bug. It shows you these warnings because the certificate is not trusted.
Internet Explorer comes with a number of preinstalled Trusted Root and Intermediate certificates, to determine whether the certification path of a server certificate presented to your browser can be trusted.
This is to prevent Man-In-The-Middle attacks!
When Root CA's (the companies signing the trusted certificates) issue a certificate, they first verify that the customer actually is the registrant for the domain they need a certificate for. For some types of certificates (eg. Extended Validation certificates), the Root CA's will require information from the customer to verify that their business is legit, and not just shell corps set up to scam internet users.
Last year, Comodo (one of the largest issuer of validated SSL Certificates) and subsequently DigiNotar (a similar, albeit smaller issuer, based in the Netherlands), was hacked by the so-called "ComodoHacker", who managed to issue a number of certificates for, among other subjects *.*.com (matching any 2-component .com site), *.*.org, login.yahoo.com, google.com and so on.
Before the certificates was revoked, a number of users were targeted by MITM attacks, using the login.yahoo.com certificate, leading users who had been tricked by forged DNS records and hosts-based attacks, to believe that they were actually logging in to yahoo.com over a secure connection, but in fact submitting their login information directly to the hackers.
With this in mind, here is a guide for adding trusted root certificates manually
Adding a trusted root certificate in IE:
- Go to the Tools menu, and open Internet options
- Go to the Content tab.
- Click on the Certificates button
- Go to the Trusted Root Certificates
- Select Import and locate the certificate you want to import.