Depends where you want to link to. There are many predefined pages existing and you can choose if the link it SSL or NONSSL.
But this has nothing to do with your warnings in SSL pages, only when a customer clicks on a link it may say that you leave the secure page.
Few example:
Code:
<a href="<?php echo zen_href_link(FILENAME_SHOPPING_CART, '', 'NONSSL'); ?>"><?php echo HEADER_TITLE_CART_CONTENTS; ?></a>
<a href="<?php echo zen_href_link(FILENAME_LOGOFF, '', 'SSL'); ?>"><?php echo HEADER_TITLE_LOGOFF; ?></a>
<a href="<?php echo zen_href_link(FILENAME_ACCOUNT, '', 'SSL'); ?>"><?php echo HEADER_TITLE_MY_ACCOUNT; ?></a>
<a href="<?php echo zen_href_link(FILENAME_CHECKOUT_SHIPPING, '', 'SSL'); ?>"><?php echo HEADER_TITLE_CHECKOUT; ?></a>