Hi - the message you get seems to be about cookies stored by websites. Could you post the exact text of the message here, so we can know for sure what it's saying?

Tracking cookies are stored by websites to track your visits to a website. They are not a threat to your computer, and you can remove cookies at any time by following the steps at Clear cookies and site data in Firefox.

It's safe to ignore antivirus warnings about tracking cookies. If you prefer, you can clear all Firefox cookies using the instructions above when this happens if you want to get rid of the cookies.

See http://www.avg.com/us-en/faq.tpl-empty?num=2353#num-2334 (What are tracking cookie files?)