This is a 'balloon' notification from AVG. To correct this, open the AVG control panel and select 'Tools' and then 'Advanced settings'. Under the 'Appearance' settings you will see a box for 'Balloon tray notifications'. Uncheck this box and then 'Apply'. Return to 'Overview', double-click on 'Resident Shield', and select 'Remove all threats automatically'. You can now choose whether or not you want AVG to scan for and remove 'Tracking cookies'.
To answer your original question, it is AVG probably detecting a 'Tracking cookie' and asking you what to do. Having the 'Resident Shield' remove all threats automatically will remedy this.
Edited by Zuhl3156, 15 March 2011 - 09:36 AM.