You don't state what version you have - 2009 (square icon) or 2010 (shield).
If the latter double-click it to open SecurityCenter
Click Navigation (top right)
Click History and Logs
The path should be given in one of those records - click the little arrow to expand any one detection for more information.
If 2009 I am going to have to look it up as I've forgotten.
I'm using the 2010 version. The log is full of notes about cookies and is not long enough to include the information about real threats detected. Is there a way to make the log longer or, better, make it exclude cookies notices?
thanks for your help so far.
Not in the current version but the suggestion for more information in the logs has already gone forward to McAfee.