It is really simple, in order to be able to use SecureLine you need to connect to a ISP/access point first.
No Internet connection = no way to use a VPN
You are traveling and your laptop is trying to use the nearest and/or strongest signal that is around.
e.g.
If you are in a large(r) city, it connects to access point A.
When you move to the other side of the city (or to another city) the signal will get to weak and eventually entirely lost.
Your laptop searches for a new access point and will find access point B the best one to connect to.
So yes, you are constantly changing networks and the firewall is detecting that and is asking you what to do.
Perfectly normal.
A good site to learn about these things is
http://www.howstuffworks.com/