This is the web shield alerting so it probably isn’t on your system, unless it is something on your system trying to connect to that URL. If that were the case then I would say that your avast scan would have found it earlier or not at all, in which case you need to check with other tools, see ### below.
Is it one of your feeds that would be loaded when you startup firefox ?
I ask because of the URL in the image you posted.
On a security point your copy of firefox is a few security update short, the latest version is 3.5.7, so I would suggest updating.
If you haven’t already got this software (freeware), download, install, update and run it and report the findings (it should product a log file).
MalwareBytes Anti-Malware, On-Demand only in free version http://download.bleepingcomputer.com/malwarebytes/mbam-setup.exe, right click on the link and select Save As or Save File (As depending on your browser), save it to a location where you can find it easily later. - 2. SUPERantispyware On-Demand only in free version.
Don’t worry about reported tracking cookies they are a minor issue and not one of security, allow SAS to deal with them though. - See http://en.wikipedia.org/wiki/HTTP_cookie.
Update: there are a couple of other detections on that link in the image, this is on the favicon.ico file (see image1) and that give me the impression that this site has been hacked.