First thing to do is a full sweep of the system with Windows Defender, followed by Malwarebytes.

Thanks for your reply, I've done that and no issue has been found (from both).

If so, it's the remnant of whatever malware was there before.  Start the task manager (start-run-taskman or CTRL-SHIFT-ESC) and in the Startup tab, locate the entry corresponding for that script and delete it.  Once it's gone, reboot and the popup should not reappear.

I'm not able to locate the HGX script in the startup tab. Nothing is present with that name.

Search through the registry with the registry editor for the entry where that loads and deactivate it.

Nothing... I searched for "C:\ProgramData\HGX\HGX.vbs" and "HGX.vbs"

I've try Avast too, and no virus has been found. What's strange is that the popup error appears only if my laptop is plug-in. And as soon as I un-pug it the popup disappears... 

I don't think this is a fundamental solution, but when I created a blank "C:\ProgramData\HGX\HGX.vbs", no error warning was displayed.