I can't help you I'm afraid,I'm not as pc-lit as I'd like to be,but I have the same problem and it started last nite-13th Dec. I've also noticed that an AVG toolbar has appeared. I installed my version in 2008 and apart from having AVG run each night for updates and a scan,I haven't downloaded a new version.
I'll be watching the forum and hoping you get a reply because I'm quite concerned about it.I've had problems opening any emails,using links etc for several days but the Internet Explorer message you mention only began to appear last night. Good luck, I hope you get your answers.I haven't needed the forum in a long while but have always found the members very helpful.
I also get the same message running Windows 7. I tried to do the screen shot but it wouldnt work. Took a pic with my camera and attached it. Says AVG is trying to open something outside protected mode. If I trust this site click Allow. I have to click it three or four times to get it to go on to Internet Explorer. It dosent do it when Mozilla Firefox opens. Mine also started around Dec. 12th or 13th. Thanks for any help.
Please check "Do not show me the warning for this program again" option when the warning window is displayed again and then click on Allow button.
ScriptHelper.exe is part of new AVG toolbar and it is safe to allow it permanently.
I have the paid subscription AVG and I have disabled the AVG Security Toolbar partly because of this problem. The ScriptHelper.exe application was also reported as taking up excessive resources and had slowed my internet access considerably.
Anyone else is having this problem can goto Internet Exploder > Tools > Manage Addons and disable the AVG Security Toolbar too.