It's OK Justin.
IE9 confirms it as a genuine Microsoft site and that it is automatically invoked by MSE.
It must indicate that MSE can detect malware that it is unable to remove while the system is running, so it uses this bootable OFFline Beta to decontaminate the OS from outside.
Debby, carry on following the instructions.
Don't worry. It's just creating a bootable CD which you will then use to scan and disinfect your OS while it's not running.
Afterwards, when you remove the CD, Windows will continue to boot as usual, but hopefully minus some nasty infection or other.