Jon must be on his daily dose of drugs again. 
Anyway, back to topic. When this message is shown, it means that
any info you send or receive will be in unencrypted plain text. You
see, when data is transferred, it doesn't come directly from the
other end. It has to hop through different machines in different
networks before it reaches you, and vice versa. So when it is in
plain text, the machines that passes the data along is able to get
a copy of your data for unauthorised use.
Basically, any data you send or receive using the HTTP protocol,
including login information and messages, and site-wise sgForums,
is not encrypted and can be captured by a third party. So for your
second question, if your "someone" refers to anyone, then it's a
yes. This is one of the main reasons why it is recommended to have
different passwords for online banking, and other monetary
functions, from the one you would use normally. (Despite that, I'm
still using the same password for most areas, including my
$1.01-balance iBanking account. )
You would know that data transfer to and fro a site is encrypted
when your browser is using the HTTPS protocol, which is obvious
from its address bar. So, each time you're moving from a page using
HTTPS to another one that doesn't, the forementioned message would
appear.
More info:
http://answers.yahoo.com/question/index?qid=20071003061044AAymm3X
http://en.wikipedia.org/wiki/https
