I’ve been having this issue for quite a while: The mentioned message pops up several times a day, and I don’t know which program causes this message to appear. After searching the web it seems like its caused by the Skype client for Mac when displaying adverts in its home section. For me, it’s clearly a security issue and needs to be fixed, because malicious URLs could be opened with that.
You can fix this by blacklisting URLs Skype uses to contact to retrieve the adverts. Instructions can be found in this forum post (german).