First, the most likely reason that the window pops up is that your hosting service has botched the job of setting it up on the server. For example, if the certificate is made out to www.domain.com but your server admin people have set it up on domain.com then the URL and the certificate won't match, and the warning message will pop up. There's nothing you can do about this except complain to your hosting people.
As far as certificate cost goes, I'm in the process of getting my own, and I've discovered that a Thawte certificate costs $125 for exactly the same thing as Verisign charges $349 for. However, you'll have to add charges for your osting people to set it up for you, and they'll probably want to choose which certificate to use. They'll package the cost together, so it's irrelevant how much the actual certificate costs.