Lock symbol is not shown. Is the website secured?

I have set up a secure website. After login, The browser shows https:// and lock symbol is on but when I try to browse next page, it pop up the window said “This page contains both secure and nonsecure items. Do you want to display the nonsecure items?” If I click yes then the page is open, URL still shows https:// but lock symbol is disappeared. If I click no, then the page displays error Action canceled. What did I miss that cause the pop up window? I have checked on the database for Require SSL connection. Do I need to check back down to the design level? Is the website secured? should I get rid of the popup window?

Thank you,

Prapasri K.