I had a similar issue. Supposedly it's because there are trojans which hijack your computer to mine bitcoins, and they use some cgminer code to mine, so Avast decided to ban cgminer.
So you could ignore the warning (shut off antivirus, start cgminer, start antivirus. Or make an exception or something), or use a different miner, Diablominer for example.
Ufasoft and CG Miner are flagged as virus's in most AV suites. There are probably other mining programs that are flagged as well but I only know about those two since they are the ones I use.
It won't be long before most or all mining programs are flagged as virus's. This is a problem that is/has been discussed at ad nauseam in the miner program threads. So I would recommend going to the CG Miner thread and search the issue and read the replies. If you then still have any questions then post it in the appropriate miner thread.