When I am on my log-in screen on my computer, I sometimes get this message: "Do you want to shut down the computer while others are using it? They may lose data" (Or something like that)

Do I have some kind of spyware on my computer, like Trojan or something?

And how do I check if I have it? My Antivirus program (AVG 2013) does not find any threats.
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More about spyware
  1. Are you on a home network? Do you have network shares that others connect to?

    If you have a network share, where other PC's are connected to it, you will get that message.
  2. it sounds as if someone is remoted-into your computer via a Remote Desktop Connection; It is not a virus.
  3. Good to hear that it is not a virus :)
    But I do not share network, and I have never used RDC...
  4. Do you have a phone connected or other devices?
  5. Do you have more than one user account on your computer?

    The next time that you see this happen: Go into Task Manager and you'll see a tab titled "Users" and that will let you know what other user is currently logged-into your computer.
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