When you're browsing the web the information you send could (under normal circumstances) be hacked into by people who wanted to see what you're doing. That's no great worry if you're simply clicking on a link here on the Answerbank or Googling for the gig dates of your favourite band, but it could be worrying if (for example) you were entering your debit card details when making an online purchase. For that reason, information entered into the fields of a 'secure' web page (such as those used for online payments) is encrypted, so that it can't be intercepted. (Secure web pages have addresses starting with 'https', instead of 'http'; a padlock symbol should appear at the bottom of your screen when you're viewing such a page.
Firefox is simply warning you that you're sending information via a non-secure web page. You can control which messages Firefox shows by going to Tools>Options>Security>Warning Messages>Settings and selecting (or deselecting) the relevant tick boxes.
Chris