For people using LW 5...
Windows users click on Tools > Options. Mac OS X users - Command (apple key) & comma, (⌘-,).

Now click on the Security icon.
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Click on the Settings button next to Warning Messages.
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Now you'll see a Warning Messages box. Untick the warning message that you don't want to see any more & then click ok.
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Last of all, click ok on the main options page.
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