This is a feature of protected mode browsing in IE - it's basically designed to stop webpages from being able to instruct IE to start a program on your computer, and hence is a security feature.
Your problem is therefore either:
i) You are being prompted for instances of rundll32.exe by the website because the website is hacked
ii) You are being prompted for instances of rundll32.exe by the website because your security settings have been mis-set
iii) Both of the above
This website should help you with (ii), and you can then revisit the offending website and see if (i) (and hence (iii)) is true or not.
http://unlockforus.********.co.uk/20...y-warning.html