First off all, you need to upgrade to BullGuard 8.5. The upgrade is free of charge. For that, follow this online guide :
https://www.bullguard.com/support/product-guides/bullguard-internet-security-guides/upgrade.aspx
nonubik, the auto-upgrade happens only for 8.0 users. The other ones must follow the mentioned guide :).
Regarding the tweaks of the on-access antivirus engine mentioned by nonubik, follow them, but i don't recommend you to Uncheck 'Display a notification message' box, because the infected file is on your computer, but blocked. You need to know when this happens.
After you receive a message of this type, you have more choices :
1. Run a full scan of your computer.
2. Check the on-access log to see the location of the infected file(Antivirus - Protection, scroll down, View file log). You can delete it manually, or right click it and choose "Scan with BullGuard".
3.In the actions section, you can select "Disinfect the file" and "Delete the File". The file will be desinfected or deleted in the moment you receive that pop-up message.