I'm not getting any warnings on the site. It does cookie you, for affiliate tracking purposes, but there's nothing wrong or risky about that. Are you sure you're not getting a cookie warning? I have AVG here and it found no security issues with the site in question -http://problemcatbehaviors.com/?hop=xasuwd
The ?hop=xasuwd bit btw is the affiliate tracking code - nothing sinister there.
If you could please provide details about the specific warning you're getting, I can try and check with the website in question. Thank you!