Browsers often need 'plug-ins' to enable them to perform specific tasks (e.g. displaying streamed video content). So there's no need to worry just because you're offered new plug-in, as such.
However, because plug-ins allow external websites to have an element of control over your computer, there's a potential problem if you install a dodgy one. So some browsers use 'sandboxing' to limit the amount of control that a plug-in can give to outsiders.
Occasionally though you'll come across a plug-in that can't work in a 'sandboxed' environment; it will only work if it's got more control over your computer. If you're offered one and you're absolutely sure that it's from a reputable website go ahead and install it; otherwise steer well clear of it.
The E4 website should be perfectly safe but the plug-in you need to watch programmes on it probably wants to be able to display some advertising on your computer (which, given that's where E4 gets its money from, probably isn't unreasonable). If you're happy with that, allow the plug-in to be installed.