You are seeing the warnings because pear.php.net uses a SSL key that is signed by CAcert, whose root certificate is unfortunately not bundled with most browser.

If you are using a Mozilla browser, you can import the certificate on this site by clicking on the link "Root Certificate (PEM Format)". When asked if you want to trust the new Certificate Authority, you need to check at least the "Trust this CA to identify web sites." box and click "Ok".

People using Internet Explorer may find help here.

Mac OS X users must download the above mentioned PEM file. The certificate can then be imported with the "Keychain Access" utility via "Import" in the "File" menu.