A dentist said i have a third molar infection and i should remove them, but i do not want to do the surgery. is that a very dangerous situation?

Could be: The answer to this depends on the specifics of your situation. No one really looks forward to this procedure but in the hands of a good surgeon and with proper management of your consciousness, it should be quite manageable. Your medical insurance may even help with some of the expense in addition to your dental ins. If you have that. Get a second opinion by all means but don't ignore the advice.

Dangerous: Any infection is dangerous. Infections of the oral/nasal cavities are more so because of the potential for compromised airway. Chronic annoyance can morph into acute emergency very quickly. Your dentist has your best interests at heart. His/her many years of training and experience say that you need help. See an oral and maxillofacial surgeon for evaluation before infection gets out of hand.