The reason is, at this point in the menu code, Andy needs to create an iframe for whatever reason to make the menu appear correctly. There is a little quirk in Internet explorer in that, when you declare an iframe and
do not give it a src attribute, IE will default to about:blank. But according to IE, the about page in IE is NOT secure and does not play nice with the https protocol which is supposed to be secure....so if he puts in a filler file, say blank.html, it stays secure. It also subdues warnings along the lines of 'insecure and secure items on this page, do you want to view it.' The down side is, your server log may fill up with 404s...hehe. Upgrade
LATE ADDITION:
I should say this still is used in the new menu, so upgrading won't fix the problem. Your better off placing a blank.html file in the root of your site to qualm the errors for now. But as far as I can see (I havent thought about it too much), its a necessary evil.