Hi YXtanyaXY, welcome to the forum
I would guess from the discription that this was a webshield alert. (see image - it is a different colour because I use a different skin.)
If you closed this or clicked on abort connection, then you should be fine. avast! has scanned a webpage you were about to view and it has found something malicious within. To protect you, it has stopped the page from loading before it reaches your browser.
As for running scans, I presume that you are using the media player skin? to change the scan levels, open up the scanner, click on local disks (on the right) and then a popup will appear for you to choose the scan level you desire.
-Scott-