In looking at your source code I can tell you I recognized it as an issue
I've seen a number of times which is why it made my FAQ page. Though I think
you're the first to mention security settings in IE.

The core issue is that the physical site -
http://members.rogers.com/gsvahn/index.htm - is framed.

I can visit the real site http://members.rogers.com/gsvahn/index.htm and
move about it with no issue whatsoever.

Ideally you'd get real hosting ( www.webhost4life.com starts at $5 -
referral id "pubmvps" ) for the domain name. But otherwise talk to the firm
you are ordering the framing from. So far the customers I've had with this
issue have been successful in telling their framing provider that their site
is built with relative links not absolute links and provider changes in the
framing resolve the issue.

I mentioned I hadn't heard from previous customers about security settings,
now I'm not an expert in IE or browser security (otherwise I'd be an IE MVP)
but that only makes perfect sense to me. Framing and redirects are used for
fraudulent activity such as spoofing legitimate sites. That IE has security
to stop that makes sense to me. If you'd want to pursue your knowledge on
such just visit the IE forum and ask about it's security practices regarding
framing.