ok, now i understand (i think)
It would appear that someone has placed a corrupt wpad file in the path of the site you are accessing. It may not be on that site (see BOAC's post for a good example)
wpad files are only used by IE ( I think) so other browsers are not affected.
Your anti virus software is stopping the file being executed, but there seems to be a copy lurking on your system that is accessed every time you start IE, thus triggering your A/V software again.
Try deleting all temp internet files, then search your computer for any wpad.* files and delete them.