What does it mean "My connection is not (safe) Private" message?

Every so often,  I 'll get a message:  "Your Connection is not private" and I'll read that someone may be trying to steal my password, etc.   Sometimes I can simply change browsers and that will solve the issue but lately it isn't working that way.

Is this legit or is it something that I can adjust in my settings somewhere?  I read an article about SSL certificates not being read properly and that I could turn off some setting in my anti-malware but it seemed complicated and I don't want to mess things up.  Things are complicated enough as it is,   just using PC's and the web.

Any tips?