It sounds as though you’ve had a recent infection and one of your ‘anti’ programs has removed the malware files, or some of them, but missed the entry in the registry, possibly due to an out-dated definitions database. I suggest you, firstly, download and run the free Malwarebytes' Anti-Malware from http://www.malwarebytes.org/free/ to ensure that you are completely clean. If you then restart the computer and the message is still appearing try one of these, but it is prudent to create a system restore point before you change the registry in (1) below by going to Control Panel > All Control Panel Items > System > System Protection (in the left pane) > System Protection Tab > Create and make sure you give it a meaningful name.
1. The entry is probably in one of the \Run keys, but as the rascal could be hiding in a number of other ‘autorun’ keys, it’s quicker to search the whole registry. Open a Run window (Windows Logo key+R), type regedit and press Enter. Click Edit > Find and type the rogue’s name, put ticks in Keys, Values and Data, then click Find Next. When it’s found in the right pane, right-click it and delete it. There should be only one entry but press F3 to continue searching, just to confirm there are no more.
2. If you’re concerned about making registry changes disable the entry using the system configuration utility, but bear in mind that you’re disabling the entry not deleting it as you would in (1) above. Open a Run window (Windows Logo key+R), type msconfig and press Enter. Go to the Startup Tab and remove the tick alongside the rogue’s name. Click Apply, OK, etc. and restart the computer. When it restarts, put a tick in ‘Don‘t show this again‘ as you‘re effectively doing a selective start up.