It's not a warning at all. Its a sound that is set in the control panel. To change it, go to the control panel and click on sounds (I think thats what its called) and look listen to all the sounds that are listed under explorer. Find the one that is the clicking noise and change the settings so that no sound is played.
(Oh, and its not just on IE, it will also occur on windows explorer when you double click on a file)