The Most Pointless “Security” Feature (prior to Windows Vista)

I have to ask this question: What is the point to this stupid pop-up browser question?

In more than 10 years of using the internet, I have NEVER, under a single circumstance, encountered a situation where I would answer this stupid, useless, and annoying pop-up as no. The reason I ask is because normally this is only annoying, but today I am being forced by my organization to undertake a 1 and 1/2 hour internet based training session on "Information Security", and every single time I click the next link, I have to answer this pop-up. Is there a way to turn this worthless thing off?

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