It just means that the government issues their own certificates, and those certificates are not trusted automatically by Microsoft.
30 seconds with Google finds detailed instructions on how to add a certificate under IE, from (amusingly enough) Novell:
http://www.novell.com/coolsolutions/feature/18875.html
Note, only go as far as step 6, which is installing the certificate on your PC. The rest of the instructions are for pushing a certificate out to a bunch of computers, which you don't care about.
Tom