Before you all go running off with the idea that this is anything to do with antivirus, virus, malware etc, you might first of all want to check which program is reporting it, Third Mate. Nothing you said in your first post would lead me to assume that a virus was the case. But at this stage, there is not enough data to tell anyone anything.
The next time that the message pops up, press CTRL, ALT & DELETE simultaneously, then when select the Task Manager option. From there select the processes tab and make a list or take a screenshot of all the processes. Post that here and no doubt the answer will become more apparent.
I don't know of any viruses that are common at the moment that cause this dialog to pop up, but there are many genuine applications that can cause it.
