This is expected. JMeter is using self-signed certificate in order to be able to record HTTPS traffic and Internet Explorer warns you that certificate is not "trusted". So you can ignore this warning, click Continue to this website (not recommended) and move on.
As per "Installing the JMeter CA certificate for HTTPS recording" chapter of HTTP(S) Test Script Recorder documentation.
As mentioned above, when run under Java 7, JMeter can generate certificates for each server. For this to work smoothly, the root CA signing certificate used by JMeter needs to be trusted by the browser. The first time that the recorder is started, it will generate the certificates if necessary. The root CA certificate is exported into a file with the name ApacheJMeterTemporaryRootCA in the current launch directory. When the certificates have been set up, JMeter will show a dialog with the current certificate details. At this point, the certificate can be imported into the browser, as per the instructions below.
Note that once the root CA certificate has been installed as a trusted CA, the browser will trust any certificates signed by it. Until such time as the certificate expires or the certificate is removed from the browser, it will not warn the user that the certificate is being relied upon. So anyone that can get hold of the keystore and password can use the certificate to generate certificates which will be accepted by any browsers that trust the JMeter root CA certificate. For this reason, the password for the keystore and private keys are randomly generated and a short validity period used. The passwords are stored in the local preferences area. Please ensure that only trusted users have access to the host with the keystore.
Documentation also suggests installing certificate into browser to make this warning go away:
Browse to the JMeter launch directory, and click on the file ApacheJMeterTemporaryRootCA.crt, and open it
Click on the "Details" tab and check that the certificate details agree with the ones displayed by the JMeter Test Script Recorder
If OK, go back to the "General" tab, and click on "Install Certificate ..." and follow the Wizard prompts
By the way, you can use an alternative to JMeter's HTTP(S) Test Script recorder service. It makes recording process easier and also can export recorded requests in so called "SmartJMX" form - automatic correlation of dynamic parameters. See How to Cut Your JMeter Scripting Time by 80% article for more details.