Steve,
this usually means that you have included resources on the page that are not served over SSL. Commonly videos like from vimeo.com and others cannot be served over SSL as vimeon (and other services) do not support this.
The advice given by Murphy is actually wrong, and will decrease the security of your Moodle site, as it will fallback to HTTP after the user has logged in.
If you are using apache, there are simple rules that force all content to be served over SSL, I have attached one of our example configuration files for true SSL usage.
Regards, David