Does this occur when you're surfing the web? Does this happen while visiting a specific website?
I can think of a couple of reasons this would happen.
First, you could be visiting an infected website that's redirecting you to a phishing/malicious site (the one AVG is blocking).
Also, this could be malvertising, but your adblocker should be blocking that.
As well, your browser may be compromised. You may be victim of a malicious extension or DNS.
I suggest you download & run ADWCleaner.