I believe I've found the answer to this one. Its a registry setting located at HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Internet Settings
There should be a key named AutoConfigURL which points to a text file located on your PC. Mine was named KB_Beast.txt (Beast being the name of my PC). This text file had loads of banking sites, hotmail, Gmail, Paypal sites listed. I deleted the value for the AutoConfigRL key and havent had any warnings since. On the plus side it seems Avast has been blocking this script from running. I hope this helps in your case as well.
Regards