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An amplify-and-forward (AF) multiple-input multiple-output (MIMO) relay network composed of a source, a relay, and a destination is considered, where transmit beamforming is employed both at the source and at the relay. The relay is a user who is willing to help the communication from the source to the destination. In our paper, however, the relay is untrusted in the sense that it may make a passive security attack; that is, it may decode messages of the source. We consider two ways to transmit confidential information of the source to the destination: noncooperative secure beamforming and cooperative secure beamforming. In the noncooperative scheme, the relay is simply treated as an eavesdropper, and does not participate in communication. In the cooperative scheme, the relay is asked to relay signals from the source to the destination. In this paper, the source and relay beamforming is jointly designed to maximize the secrecy rate in the cooperative scheme. The conditions under which the cooperative scheme achieves a higher secrecy rate than the noncooperative scheme are derived in the low and high signal-to-noise ratio (SNR) regimes of the source-relay and relay-destination links. The performance of the secure beamforming schemes is compared through extensive numerical simulations.