Hello,
I am not sure on what version of SAPGUI you are on.
As described in SAP Note 1504490, after installation of SAPGUI 7.20 patchlevel 3, users started getting a "SAP GUI Security" popup. This is because the 'Default Action' is set as 'Ask' in Security Settings of SAP GUI Options.
You can change the Security to disabled, just open SAP Logon Options
-> Security -> Security Settings -> switch Status to "disabled".
Regards,
David