I would suspect that the site doesn't want to be loaded into an iframe and has detected your attempt to do so. I would guess that the message you are getting is bogus.
That is, there are possibly several conditions the site/page tests for--cookies, loaded into a frame, etc.--and if any one fails it gives a message. And it's simply giving you the wrong message.
I assume you aren't willing to share the URL, else we could confirm/disprove my guess. But you could debug this, you know. IE's debugger should be able to find the JS code that is causing the message.
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A pessimist sees the glass as half empty.
A realist drinks it no matter how much there is.