First, I trust you have AVG installed as your anti-virus, and not another product ... I was unclear whether your AVG scan was an online scanner or your onboard protection. It would be useful to know the exact and full wording of the message, but I don't use AVG, and don't know if there is a log that you can find or not.
If you do indeed have AVG onboard, the popup screen was telling you that it blocked the firefox.exe process from accessing the mentioned malware/exploit, and blocked it before it reached your system. In other words, the detected threats were on the website you were visiting and not on your computer.
"Rogue scanner" refers to websites that "inform" you that your computer is "infected", and try to entice you to check the "OK" button to "scan" your computer. If you were to do so, this "scanner" would then report many infections were found, and recommend that you download their application to remove these infections. The applications usually "appear" to be legitimate in their appearance, but they are merely tools to separate you from your money ... they actually remove nothing, but worse can often open back doors for other infections to steal passwords, credit card info, etc.
Since MBAM found nothing, I presume you exited out of all of the windows without clicking on any buttons to install anything.
Just to play it safe, you might wish to run the ESET online scanner:
http://www.eset.com/onlinescan/
