I believe you are referring to "Cross Site Scripting," (XSS) not "Spreading" -- and yes, it is a security threat, but that's the reason IE is complaining about it. Most sites don't do XSS because they know the danger, so I am a bit surprised that you've run across some.
But seriously, why are you still using IE? It's the least secure web browser you could possibly use. If I were you, I would download either Firefox or Google Chrome (my favorite is Firefox because of all the useful plugins you can download). Both of these browsers are faster and more compatible with web content than Internet Explorer will ever be. More secure, too.
If you are REALLY concerned about XSS, you could download Firefox with the NoScript plugin; NoScript prevents XSS and a bunch of other nasty internet hacks by default. The plugin takes a bit of configuration, though, which might be somewhat intimidating if you aren't technically-inclined.