Warnings in Avg

I run Windows XP SE. I use AVG Anti Virus,Spyware Search and Destroy and Zone Alarm Firewall. I guess I am sort of a neat freak and try to keep my computer as clean as I can. So after running AVG last night, I was surprised to find a page of "warnings". I realize that this doesn't mean that I am infected, but I would like to be able to get rid of whatever caused the warnings. The warnings seemed to all be activeX Malware and Internet Explorer. I cleaned the Registry with "Easy Clean" and Ccleaner which found nothing. I use Firefox for my browser, but guess Explorer somehow still has some effect on my browsing.I tried to find help at AVG's site, but found nothing to help me. Could someone please tell me how to get rid of these warnings. I have Internet Explorer 6 on my computer. If I were to download 7, would it help? I tried 7 once along time ago and had problems so havn't messed with it. Thanks for any help you can give me.
Red

 

See if this link will help you. http://forums.majorgeeks.com/showthread.php?t=171676 If not perhaps a screenshot of those warnings may shed some light on "your" warnings?

 

I couldn't seem to get a screenshot but here is one complete line. All others are exactly the same except the nunbers at the end.

Warning-Found Adware.CoolWeb Search\HKLM\Software\Microsoft\Internet Explorer\ActiveX Combatibility\{285bSccd-c3f0-4eb6-9632-7d0a3c32f824}

Thanks for taking a look at this and maybe help me understand.
Red

 

Download CWShredder to remove those nasties if AVG doesn't remove them or you can't put them in the vault!!
http://www.majorgeeks.com/download3019.html

BTW here's some info on what Cool Web Search is all about: http://en.wikipedia.org/wiki/CoolWebSearch

 

Ran CWShredder and it found no infections on this computer. I think the warnings are in the vault so maybe the Shredder couldn't get to them. Will the instructions below be able to get to them in the vault. It seems that AVG would have a tool to get rid of the warnings. Will try your advice. Thanks everybody.
Red

 

Did you scan with AVG again to see if the warnings are gone? You can also access the vault to see if these nasties are there. I don't know if you have active X "enabled" or set to "prompt" etc. in IE. Check it out....