I found the answer in the following link:-
http://archives.postgresql.org/pgadmin-support/2011-09/msg00076.php
I tested on my machine by creating the actual pg_log directory and
running pgadmin3 v1.14.2 and I didn't get the dialog box.
Killed pgadmin, removed the directory and restarted pgadmin, opening the
server status windows and the dialog box reappeared and clicking on it
had no effect.
I have now created a symlink for the pg_log pointing to
/var/log/postgresql (the default on Debian).
Hope this helps someone else.
Adrian