don't go back to that site?
rundll32.exe is a process which executes DLL's and places their libraries into the memory, so they can be used more efficiently by applications
You don't say which websites ..... or which prog is issuing the warning ....
I'm guessing that the warning comes from zone alarm ... or some other Insternet security prog
and probably relates to a java app or maybe quicktime
generally speaking ... the window should also have an option to make this the default action
so tick the box and say no .... and you'll never be asked again
another question is the website(s) ..
do you trust them? (if not why go back)
if you do .... let it rip