I'm sure you know that many, many programs on your machine are accessing the internet all of the time. I have to assume your firewall is alerting you to a new program that is trying to do so: MASetupCleaner.exe. I have told the COMODO firewall to block this program's access to the internet until I know what it does.
I don't really suspect the Kies software of doing sneaky things, but I do find it to be an extremely poor program. It was a nightmare to install it on both of my Win7 SP1 machines (one AMD, one Intel). Connections to the Samsung Galaxy phone are painful and iffy. The phone belongs to my partner. If I had known how much trouble Kies would cause, I would have told him not to buy this new phone 2 weeks ago. It never occurred to me that connection to a PC would be a problem, because his older Nokia 5800 phone connected so easily. Its software installed simply and worked. Meanwhile, Kies has stopped connecting altogether on one of my Win7 machines.
Meanwhile, I still do not know what MASetupCleaner.exe does. If you find out, please post here ... as will I.