Hi freakydude,
This is not an avast warning/error message and is to do with your Security settings in Internet Explorer.
You don't say what version of avast you are using?
Have you changed anything recently or updated windows, the new reccomendation is for a Security setting of High for Internet browsing, which would activate these warning prompts.
What website were you visiting, does this happen at multiple sites?
See image for idea of settings.