What is "run scripts on this page"

The message I suspect you're refering to (please post full messages, by the way) is just allowing you to cancel any other scripts on a particular web page cuz some script in it returned an error. This is almost always the web developer's problem. It doesn't really matter what you answer in most cases, it usually won't help anything either way.

It could also be a security setting on your browser asking if you want to run a particular type of script (and therefore not the webdesigners fault or problem).

Your question was a bit too vague to pin it down.

What is run scripts
With me it was a security setting that caused this message to appear. It tended to appear mainly with certain web pages, notably, Abuzz, especially when using the long response window. Once I adjusted the setting, the problem went away.

Unfortunately, I can't tell you what the setting was and/or should be, since a) it was a while back, and b) I was using AOL at the time and their settings may be somewhat different from MSN. For what it's worth, I've never had the problem since switching.