Using Invoke-Webrequest in PowerShell 3.0 spawns a Windows Security Warning
$data = Invoke-WebRequest http://stackoverflow.com -UseBasicParsingIt looks like an Internet Explorer prompt, this is because under the hood Invoke-WebRequest is probably using Internet Explorer to parse the DOM. When you use the -UseBasicParsing parameter you instructing PowerShell to use its own parser. For some reason, it also seems to hide the cookies prompt.
The message can be suppressed by loosening the privacy setting in your internet options 
You can also just add a per site pricavy option for the site you're using in your script, instead of allowing all cookies.
Opposed to the -UseBasicParsing You'll keep the parsing provided by internet explorer. (At the cost of loosened security)