Ron deBruin has this page on his site that describes how to send using CBO which should get rid of the message.
And this page (http://www.rondebruin.nl/sendmail.htm) has all his emailing with vba pages.
--EDIT-- in response to comment
Your currently "working" code is sending the email in a manner that makes the message appear. Using the code from the link I provided bypasses the mail system that requires the security message.
Quote from the link I provided above (emphasis added):
What is CDO doing
The example code is using CDOSYS (CDO
for Windows 2000). It does not depend
on MAPI or CDO and hence is dialog
free and does not use your mail
program to send email.
Briefly to explain, this code builds
the message and drops it in the pickup
directory, and SMTP service running on
the machine picks it up and send it
out to the internet.
Another quote from the link you provide in the comments (again, emphasis added):
Tip (my favorite way to send mail)
A much better option is to check out
this page and see if CDO is working on
your machine. Working with every mail
program (It will not use a mail
program) There are no security
warnings when you use CDO to send
You'll need to change your code if you want to send without the messages.