The alert if the web shield or standard shield would have remained on the screen. If however it was the Network Shield blocking a malicious site, this is a much more low key alert, with only a display in the lower right of the screen which goes after a while.
Check the Network Shield, Customize, Last Attacks and this will show the date and time os any attack, if this corresponds to the rough time of your alert then that was it and it too would block anything getting on your system.
Check the avast! Log Viewer (right click the avast 'a' icon), Warning section, this contains information on all avast detections (for the approx, date, time of the alert). C:\Program Files\Alwil Software\Avast4\ashLogV.exe - Or check the source file using notepad C:\Program Files\Alwil Software\Avast4\DATA\log\Warning.log
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When posting URLs to suspect sites, change the http to hXXp so the link isn't active (clickable) avoiding accidental exposure.