WTF is the dialog about the dialog?

I've seen it several times and I think most commonly when AVG gets an
update. Normally it then installs the update and a messagebox pops up
saying it has installed quite happily and would you click ok to
continue. But before that last messgebox comes up I get a dialog from
Vista saying something like "an unknown dialog has tried to communicate.
I don't know what program it is from and I don't know what the message
was but I thought I'd let you know" Then the actual dialog from AVG pops
up. I click ok and the AVG dialog goes away. Then the Vista dialog says
"Err it's okay now the dialog is no longer trying to get your attention".

Now what is all that about?