Hey Anne
That sounds abit annoying

Its hard to comment as we dont know what it was
that caused the alert, Did it happen just once or just after you installed
something or has it happened a few times?
Try opening MS Antispy then going to Tools on the top bar then 'Real Time
Protection' and open 'View Security Agent Events' or ' View All Blocked
Events' if you decided to block it , does it give information in there of
what tried to add a start up entry
It may be best to do a repair of MS Antispy as Ive never noticed it giving
alerts with no information, (Start Menu > Control Panel > Add/Remove Programs
Click Microsoft Antispyware then you will see ' Click Here For Support
Information' press that then choose repair) And let us know if it continues
Andy