That is the web shield stopping malware getting downloaded to your HDD, you will keep getting them so long as you keep visiting the same site.
Is this from multiple sites or is it just one?
You could give examples of the urls without making them active, e.g insert spaces to break the url string, http : // www . dummyurl.com that way it can be investigated without risking accidental clicking by the curious.
Could it be that something (undetected) is on your system attempting to download more malware?
Do you have a firewall, if so what?