It is only a WARNING message, not an ERROR, so you can ignore it.
It's usually caused by having a Captive Portal on your network, these are usually found on wireless networks, but it's possible that you could have one on your wired network.
If you really need to get rid of the warning, then you could change how your network is configured so that the SX20 no longer has its traffic routed via the portal.
Wayne
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