Kind of reminds me of the "Mark of Zorro" (Jeesh, I must be getting old).
Anyway, basically its a special marker comment in a local (on your box) web page:
<!-- saved from url=(0023)http://www.contoso.com/ -->
The (0023) is the the string length of the URL that follows;at a minimum, the string length should indicate the number of characters in the complete URL up to the end of the top-level domain name (.com, .org, .net, and so on for Internet sites).
The comment must contain the Web page's URL immediately following the string length.
The comment must appear in the first 2,048 bytes of the HTML document, within the HTML markup.
Basically, with XP SP2, local webpages now run as untrusted, and that's why you get that nasty security thing at the top of the page now.
Th MOTW enables you to test your active HTML documents in the security zone where you intend the pages to run. Adding the MOTW to your Web pages also enables you to fully test their compatibility with users' security settings.
Here's the documentation and a lot more info on it:
In sum, the MOTW in a page allows the content to run as if it came from the internet zone. Script and active content hasthe same privileges as if you were viewing it from a website.