I install and manage digital certificates on the mainframe.
The error indicates the certificate in question was not signed by a certificate authority that you have the root and intermediate certificates on your PC. Typically the root and intermediate certificates are stored on your PC by Microsoft.
If you are sure your going to a legitimate website then ignore.
The whole point of server authentication is that neither side trusts the other but both sides trust the certificate authority. Certificate authority could be Verisign or GeoTrust.