jack ak is quite right. Those warnings happen when a webpage derives something from another server (even in a "normal" news portal like www.delfi.ee - in Estonian), and you certainly don't need to be notified about that unless you really want to.
In my case, both Mozilla and K-Meleon do that, so I actually think this is something that should be fixed. I've been trying to look for specific Mozilla policies for that purpose but could not find any from www.mozilla.org. BTW, there is a good site at
http://www.mozilla.org/projects/security/components/configPolicy.html
some of that information may apply to K-Meleon too (?)
The hosts file is a good solution consumes much less resources than an ad blocker or any other such software - the less applications you are running, the more stable is your system! However, I think that those alerts (or warning dialogs) can be turned off from somewhere. So I hope somebody is smarter than me and finds it out.