Lets see if i can explain this using basic terms.
A computer has 65535 ports through which it can communicate with other computers. Certain port numbers are used by virtually all computers to perform certain tasks. Port 25, for instance, is used to send email. Port 80 is used to browse web pages. Some applications use a range of ports (6881-6999) to communicate.
Now, when you plug your computer directly into an internet connection, either dialup or broadband, it is possible for malicious people to 'scan' your computer for 'open' ports, either manually, or programmatically (using a computer program to do the work for them).
Scanning for open ports involves sending a little 'hello there' piece of information to your computer on port 1, then port 2, then port 3, etc. Every time it sends that bit of information, it records the response. If it receives no response, it assumes the port is 'closed'. If it receives a response, it may tag the port as ripe for further probing. Once a list of potentially open ports is compiled, it will then attempt to communicate with your computer through those ports.
Your virus scanner has a firewall component. A firewall's job is to 'close' ports that aren't needed, to prevent malicious users from gaining unauthorized access to your computer. Most firewalls in fact close too many ports, which can hinder your ability to play games and run special software. Often you will have to register these applications with your firewall to ensure it will run properly, or manually open the correct ports in the firewall.
Now, your firewall is also apparently monitoring for this type of activity. Its receiving those little 'hello there' bits of information on various ports, and based on this activity, it thinks someone is scanning your ports. Its probably right.
You shouldn't need to take any action, except to make sure your virus scanning package is up to date.
I would recommend, however, that if you're using broadband, you consider buying a router. A router is a little box that you plug into your cable/dsl modem. You then plug your computer into the router. A router can do many things, but what you're going to want it for is to act as a hardware firewall. It will block ports just like your antivirus software does, but it moves the whole process off of your computer and into the router.
I find the extra level of safety useful, as no software firewall is perfect.
If you'd like more information on the subject, try www.wikipedia.org, or www.google.com, and type in the terms 'firewall', 'port scanning', and 'router'.