The orange warning banner with the padlock was added because there's a bogus LW update showing up in search results. It's a 75.7 KB .exe & shows up as "Urgent LW update - download & install now". If people download that thing they could end up infected. To try to prevent careless people from downloading a dangerous file, the warning banner was added to LW's interface.

The padlock symbol doesn't apply to music or video

What happens when you try to download music...do files sit there & do nothing (not move to the download pane) or do they sit connecting for ages & then need more sources forever?
If it's the first scenario, follow the advice here.
License (click)

If it's the second scenario, sounds like fake files. Check out these threads for advice & tips (Bitzi!!).
Fake files showing up in search results
How to find music (tips for video, too)

Or are you getting no search results at all???