See the picture. Only that site.Is the block only popping up on a certain site? If so the site could be compromised; probably some malicious iframe redirecting to the blocked site.
If it's popping up constantly on all sites (or even when your browser's isn't open) I suggest firing up some second opinion scanners and seeing if they pick up anything.
Probably nothing to worry about then. The site's being blocked and assuming it's an infected page it can't download anything onto your system.See the picture. Only that site.