You shouldn't have to change the security settings for this.
That error message is because your IE is missing a security update, you can follow any of this solutions to fix this without having to change your security settings.
Visit www.microsoft.com, go to Security & Updates -> Microsoft Update, then click on "Custom". One of the options on the left-hand navigation pane should be "Software, Optional". Look for "Root Certificate Update" and install that update.
Go to https://ssl.trustwave.com/support/support-root-download.php, click on "STCA" under "PEM Format". The web browser should prompt you to save the file. Save the file in a folder you'll remember. Open that folder and double click on the file you just downloaded (the file is named "stca.crt" by default). A window should come up displaying the details of the certificate. Click on "Install Certificate" on the bottom of the window. The "Certificate Import Wizard" should start. Click "Next" and select "Place all certificates in the following store". Click "Browse" and select "Trusted Root Certification Authorities" and click "OK", then "Next", then "Finish".
Visit https://ev.securetrust.com using Microsoft Internet Explorer (IE). Your root certificate should automatically be updated.
If users are part of a policy group, then the administrator can enable "Update Root Certificates" under the policy settings. Windows will then update the root certificates automatically.
Once any of the above options are completed, you should be able to utilize Trustwave SSL certificates without any issues.