Each MSBuild project in your solution contains an MSBuild script that is executed not only when you build the project, but also when you merely open the solution.
This happens because the IDE runs MSBuild on the project script to understand the structure of the project and its dependencies, and without this understanding the IDE would be nothing more than a basic text editor.
Malicious actors can use this design to base an attack on modified project scripts.
To address this security threat, JetBrains Rider relies on the concept of trusted solutions and trusted locations.
By default, each solution you open is considered untrusted and you will see a dialog where you can either make this solution trusted and open it or choose not open it. Once a solution was opened, it becomes trusted and you will not be asked for confirmation when you open it again.
You can also configure a list of directories where you keep your solutions to make all of them trusted. This list is configurable on the page of JetBrains Rider settings Ctrl+Alt+S.