Doubleclick is an internet advertising service, which uses tracking cookies to provide targeted ads for their clients (ie they track where you go from which website, and which sort of ads you click on). Because of this, their products are considered spyware by many anti-malware vendors. 'Crawler', the makers of 'Web Security Guard' is one of those vendors.
The popup is simply trying to inform you that a website you visited (eg ebay) is trying to set a cookie from doubleclick. This is a privacy issue, not exactly critical (depending on how paranoid you are) but nevertheless an annoyance.
Having said this, "Spyware Terminator" (another program by Crawler) used to be on spyware warrior's rogue list for bundling unwanted programs with their application. I tend to think that this is how 'web security guard' made it onto your pc in the first place, unless you actually remember installing it intentionally. If you don't, then I suggest uninstalling it (and spywareterminator) and instead using trusted antispyware applications such as
spywareblaster,
ad-aware,
spybot search & destroy, and possibly
McAfee siteadvisor (make sure to download the free one on the right). These programs all complement each other and don't need to run in the background, you just run scans with each of them every now and then. (Apart from siteadvisor, this will start whenever you open internet explorer or firefox, depending on what browser you use. It will warn you when you visit bad websites and will mark your search results on google/yahoo as safe or unsafe). All of them are free for personal use.
If you really want realtime spyware protection, I suggest you use
spywareguard or
Spycatcher express.
Hope this helps.
Oh, and if you're concerned about tracking cookies, add the domain of any tracking cookies found by adaware or spybot to the blocked cookies list. In internet explorer, go to tools>internet options>privacy>sites, and then add the website that set the cookie where it says 'address of website' and click block. In the case of doubleclick, the address to enter would be www(dot)doubleclick(dot)net (i replaced the dots with (dot) to remove the link).
IE will never accept any cookies from doubleclick again. If you use firefox, go to tools>options>privacy>exceptions, and then add doubleclick's address there and click 'block'.