I use to run my own IT Security business and I can tell you by looking at that picture its to do with a script which would be in the ad scripts.
It was made by a group of blackhat hackers. I would advise you to first clean all your temp internet files, cookies, temp files. I recommend this tool to everyone I give advice to
Toolwiz Care its just a free tool that is a 1 click clean up of your system and has some extra advanced features for Security and cleanup/performance.
The other thing is it effects XML which I would guess the ad's are using xml to load as per the referring you to this site it may be trying to load a hidden backdoor script but
your virus scanner is blocking the attack which is a good thing. This only effects IE as you can see in the picture it's stating that the attack is coming from IEXPLORE.EXE.
So all you need to do to fix the xml is read this and download the fixit tool that Microsoft has made for this xml vulnerability -
http://support.microsoft.com/kb/2719615
Hope you find this advice to what you need.. if you need anymore IT Security advice just hit me up