Most browsers let you customize the way they handle security. You can often choose the circumstances under which a browser displays security warnings, choose which sites can run Java or other program code on your computer, and more.
Caution
I want to put you in the driver's seat, to give you as much Internet education as is possible in 400 or so pages, so that's why I'm describing the ways you can customize your browser's security settings.
I strongly caution you, however, to leave your security settings alone until and unless you begin to feel that your browser is applying security that's too lenient or too strict for your particular needs.
The default security settings built in to most browsers strike just the right balance between safety and convenience. So unless you have reason to think they're broke, don't fix 'em.