My other questions are where did you receive the software from and who installed it?
What I've seen is when SEP is handed out for home/personal use, the install is done and the settings are never adjusted. Default SEP install settings do not cut it and they will need to be tweaked to block various threats.
Let's wait and see what Hitman comes back with though before we take a look at your current settings.
What simply could be happening is you are on a website that is compromised and trying to exploit your system to download more malware.
However, if it stops when you disconnect the Internet, then you likely have something on your machine trying to send info out to the IP specified in the message. perhaps some sort of toolbar or adware.