As mentioned earlier, the Message Bar will appear every time a file with a potential security risk in it is opened, and the potential security risk will be disabled. The message in the bar will have the security shield icon and explain what has taken place. Sometimes you'll see the bar appear for non-security messages, such as those regarding workflow process, but in those cases the shield icon will not appear.
The message in the Message Bar will change depending on what has been detected in the file. The most common message you're likely to see is about macros having been disabled, but you might also see one about active content.
You can use the Message Bar to get further information about the potential security risk by clicking the Options button on the Message Bar. More on that coming up.