Security Warning -- Trusted Sites List

I use both Musicmatch and Windows Media Player.
Every time I open my Windows Media Player 10 this message pops up:

Security Warning
The current web page is trying to open a site in your Trusted sites list. Do you want to allow this?
current site:
Trusted site:
Yes [or] no

(Clicking either yes or no makes the popup disappear)

I have gone to Internet Explorer and looked at “Trusted Sites” , but there is nothing there.

How can I permanently turn off this “popup”?