Hi Vikas,
SAPGUI versions from 7.20 on include built-in security features to let the user know whenever the GUI tries to interact with workstation features, such as writing to or reading from a file, etc. This is very similar to the User Account Control (UAC) features that Windows Vista and later include.
Normally there shouldn't be any alert like this just for logging in. Based on the message, it looks like you have some kind of security logging mechanism installed outside of SAP that tracks whenever a user logs into an application. I've never heard of "applicationloginlog.exe" before, and if you don't know what it is, and your network operations/security folks can't identify it, I would be highly suspicious. It might be malware, a keylogger for instance, or it might be something that your network security group has pushed out to all the workstations.
Regards,
Matt