On more than one occasion, Avast has alerted me of a Trojan virus and told me to click on a grey box to “abort connection”. Is this what I’m really supposed to do or am I clicking on a virus? I have already done this and I’m hoping I didn’t do something wrong. Thanks for any help! 
No, that’s dead right, and the correct thing to do.
This is the webshield component of Avast, that has detected a malicious item in a webpage you are in the process of opening. Sometimes following that the site will fail to connect and sometimes it will open, but the malicious item will not be linked.
This type of detection is usually accurate.
No further action is required generally, the virus was blocked before it could enter your computer.
Welcome to the forum Anniseseed,
Tarq is absolutely right, and pretty accurate with the “windshield” anology.
The bug gets splattered and wiped away before “entering the cabin” to do harm in the first place.
Avast just seems to be doing it’s job well.
@ Anniseseed
This is the image you should generally be seeing if the web shield alerts.
I take it that is what you saw ?