The Better Business Bureau website has been infected with malware. Visitors to the site are asked to download and install an ActiveX control (that has malicious code). Their web site is www.national-bbb.com.
If you ever receive an alert you weren’t expecting, especially one asking you to download and install anything, cancel everything it asks you to do. There is no reason to install anything to view a web page.
We’ve written earlier about websites that ask visitors to install things, and on how to take more extreme measures to completely block ActiveX code.