You could direct him for any of the threads here, or anywhere else about Phantasy star online blue burst servers, most crappy antivirus pick it up as a false positive.
You can read feedback about those "false positives" on the antivirus websites, (this as example) http://www.avgthreatlabs.com/us-en/virus-and-malware-information/info/win-heur/
if you search for phantasy star, there are a few entries, together with many other "official" games that have the same error (antivirus like AVG freak out all the time)
If added correctly to the exceptions it shouldn't pop up any more warnings too.