What do you think of this warning message?

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On this legal and commercial site
if I click on the "Download now" button to doawnload a trial version of a
software, I get a warning I never saw before:

Text copy of the warning page appeared under Firefox

Server Error in '/' Application.
A potentially dangerous Request.Cookies value was detected from the client
Description: Request Validation has detected a potentially dangerous client
input value, and processing of the request has been aborted. This value may
indicate an attempt to compromise the security of your application, such as
a cross-site scripting attack. You can disable request validation by setting
validateRequest=false in the Page directive or in the configuration section.
However, it is strongly recommended that your application explicitly check
all inputs in this case.

Exception Details: System.Web.HttpRequestValidationException: A potentially
dangerous Request.Cookies value was detected from the client

Source Error:

An unhandled exception was generated during the execution of the current web
request. Information regarding the origin and location of the exception can
be identified using the exception stack trace below.

Stack Trace:

[HttpRequestValidationException (0x80004005): A potentially dangerous
Request.Cookies value was detected from the client
   System.Web.HttpRequest.ValidateString(String s, String valueName, String
collectionName) +240
   System.Web.HttpRequest.ValidateCookieCollection(HttpCookieCollection cc)
   System.Web.HttpRequest.get_Cookies() +109
   xLineSoft.download.Page_Load(Object sender, EventArgs e) +18
   System.Web.UI.Control.OnLoad(EventArgs e) +67
   System.Web.UI.Control.LoadRecursive() +35
   System.Web.UI.Page.ProcessRequestMain() +2112
   System.Web.UI.Page.ProcessRequest() +218
   System.Web.UI.Page.ProcessRequest(HttpContext context) +18
   System.Web.HttpApplication.ExecuteStep(IExecutionStep step, Boolean&
completedSynchronously) +87

Version Information: Microsoft .NET Framework Version:1.1.4322.2407; ASP.NET

Note that, in their privacy policy, the company writes:(
http://www.xlinesoft.com/privacy.htm ):

" We sometimes use an outside ad company to display ads on our site. These
ads may contain cookies. Cookies received with banner ads may be collected
by our ad company, and we do not have access to this information."

What should I think of the warning message? What does it mean? (sorry, I'm
not a cookies expert) Is there any real danger?

PS: my system is protected by a Firewall + antivirus + Spybot S&D

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