I have a good firewall in place via my router, and I update my AV daily. I also have Spybot's TeaTimer running in the background at all times, and I check regularly with MalwareBytes. This is why I feel safe turning off the option.
Having said that, you go to Settings, then open Advanced Settings, and in the section headed Privacy, uncheck the option that says "Enable phishing and malware protection." That's it, pretty much.
But you need to remember that this will mean that you won't get warnings from any site, not just AFF's false warnings.