Depending on the browser you use they will treat unsigned certificates differently. Unsigned certificates means that you haven't purchased a cert from one of the authorities that provide that service.

This means that you can still enable SSL protection on your URL, however the browser will not be abel to verify the authenticity of that certificate and will alert the visitor that the certificate is unsigned.

Assuming that you did everything right with getting the SSL certificate setup, and that it was self signed, that is the issue that you are running into. You can review your browser settings to see if perhaps it's filtering on that a bit too aggressively and turn down that security notice, or you can send your self-signed certificate to one of the authorities like Network Solutions or Thawte to get it signed and then that will go away.

An easy way to test if the SSL cert is setup is to telnet to the IP and port 443 and see if a connection is established and you can also review your web servers error logs when you start it.