You're saying that you get a warning about the self-signed certificate? Is this even after adding it into the correct certificate store? The certificate should be added into trusted root certificates as described here:
Also the certificate must match the host used in the URL when accessing the site (so if the certificate is generated for mysite.company.com you must access the site using http://mysite.company.com). Finally make sure the certificate hasn't expired.
Make sure you get rid of the warning in the browser before trying to load into QV again, or if possible try to load using HTTP (just to make sure there's nothing wrong in the xml stream) as a test.
The particular sharepoint where I am going to fetch the data needs authentication. Could you please let me how that can be done please.
Created the new thread for the same below.
I found the solution to this issue. It comes from Windows internet options handling of mixed content. To fix it, open up "Internet Options" (from either the control panel or IE). Click on the "Security" tab. With the internet zone selected, click on the "Custom level..." button. Scroll down in the list for "Display Mixed Content" and select "Enable".
If you are running Win 2008, you'll need to disable IE Enhanced Security Configuration: