Privacy concerns are becoming a dominant focus in search applications, thus there is a growing need to understand implications of efforts to address these concerns. Our research investigates a search system with privacy warning labels, an approach inspired by decision making research on food nutrition labels. This approach is designed to alert users to potential privacy threats in their search for information as one possible avenue to address privacy concerns. Our primary goal was to understand the extent to which attitudes towards privacy are linked to behaviors that protect privacy. In the present study participants were given a set of fact based decision tasks from the domain of health search. Participants were rotated through variations of search engine results pages (SERPs) of which they encountered a SERP with a privacy warning light system and completed a survey which captured attitudes towards privacy, behaviors to protect privacy, and other demographic information. In addition to the comparison of interactive search behaviors of a privacy warning SERP with a control SERP, we compared self reported privacy measures with interactive search behaviors. Participants reported strong concerns around privacy of health information while simultaneously placing high importance on the correctness of this information. Analysis of our interactive experiment and self report privacy measures indicate that 1) choice of privacy protective browsers has a significant link to privacy attitudes and privacy protective behaviors in a SERP and 2) there are no significant links between reported concerns towards privacy and recorded behavior in an information retrieval system with warnings that enable users to protect their privacy.