Certificate For Secure Connection

I have installed and configured Certificate Services on my Windows 2000 Server. It’s the Enterprise CA and I am trying to secure a web connection. The certificates are working properly but when I connect to that site, it shows the lock in the browser, lets me know it’s secure but the web site pops up a alert box telling me that my connection is not secure. I am not sure if I have configured my CA wrong, doubt it though, or if I just need to install and configure the correct type of certificate. Please help, Jeremy