The reason I quit using Avast was because of false positives, got them all the time, and it wouldn't let me play my Jewel Quest Games. I use Microsoft Security Essentials now, no problems at all. It is an "install and forget" software.

I have been using avast for years never got a false positive, they do occur in all AV products, but I personally have not had that experience with avast, I did with AVG.
A tracking cookies will not trigger the response you got you did the right thing. A site owner might not be aware that there is a problem on their own site that is why so many legit sites get flagged for having a drive by infection on the site. It is usually in an ad on the site. The problem is the site has poorly written code which allows that kind of thing to happen and they won't know till some one alerts them to the situation.
Many times the security community are the ones to alert the site owner of the problem.
In fact on some of the security forums I am on there are sections to alert to new sites with a problem.

So if you have that happen again by all means do exactly what you did.

MSE is also a good AV program, there will be false positive results from time to time with any AV, it is the nature of the program and it happens that some things can trigger it, usually because it is fairly new and the author has not yet worked with the AV company to allow their products clearance.

It is always best not to second guess it however. And you can always go to the AV forum and ask them if they have a false positive on that site or whatever it is that caused the alert. They appreciate hearing of them.

Thank you for the advice, raven!

When you have something like that you should look at what's triggering it. I haven't used Avast in years because of the high resource use and false positives in past versions but I haven't used it now for several years so maybe they've improved. You can usually tell an antivirus program that a certain file is OK. Well, some you can. I'd suggest you send the file to the company and see what it says. It's really better to have some better documentation than a tripped AV program before accusing a site of planting viruses. You could also see about it on another machine with a different antivirus program. Most of the time now I use Comodo. It's always ranked high in tests has performed fabulously and is also a very user-friendly program.

The reality is there's just not a lot of viruses around these days since the antiviruses are doing such a good job. Malware is a far more major threat and is a bigger concern AFAIC. So whenever I see something that there's an alleged "virus", I like to look closely at it since the odds are against it.

Not all cookies are safe either. And yes, of course cookies can trigger antivirus and malware detectors. That's why malware detectors will kill some and not all. There's a lot of variables involved including your sensitivity settings in the detection program. It should have said the file, location, the suspected virus and given you some info. Did it actually specify a "virus" name? Often you'll see something where the heuristics peg something as suspicios and some of the poorer programs don't give enough detail so they just say "virus" for everything. It also helps them pad their stats for detection numbers! What I like about Comodo is that it will generally say something like it's suspicious, has signatures like ______ or something like that if it doesn't nail something as a particular virus. Makes it easier to make a more educated decision on what to do. However, when in doubt, go with the safe course of action as you did. But you should also do a thorough check of your machine.

What was the actual file that perturbed Avast so much?