I wouldn’t worry. That’s a warning from Macromedia Flash. Evidently, there was something about a flash movie that was a potential security risk, so Flash warned you about it to prevent you from getting in trouble. It was probably something on a website (I’ve been seeing something similar lately at snopes.com) that’s either misconfitured or malcious. What you are seeing is Flash doing its job and warning about the danger. As long as you heeded the warning, you should be fine.
Ad-Aware wouldn’t find anything because Flash the flash program in on the web page, not your computer.