Yes, Microsoft Windows is the laughing stock when it comes to security. Unlike Mac OS X and Linux, Windows its plagued with malware! Unfortunately that first pop-up meant you were already infected before you added even more malware. Try SuperAntiSpyware
http://www.superantispyware.com
to remove most of the current nasties.
But the story isn't over as the free version won't stop you getting infected again in 10 mins time. What you need is a comprehensive protection suite from somewhere like one of these companies:
http://www.sophos.com
http://www.mcafee.com
They will give you real-time protection against viruses, spyware, adware and all sorts of other nasties Windows likes to get infected by. The integrated suite also means you can get rid of everything else you have installed already and just stick with th one brand.
You'll also need to make sure you get all bugfixes from Microsoft via "automatic updates".
To help prevent re-infection, avoid using common infection points such as "Internet Explorer" and "MSN Messenger"; upgrade to Firefox and Pidgin instead.
If you find that you're still plagued, then remember you have a choice! The free upgrade to Linux - http://www.ubuntu.com - will free you completely from all Microsoft Windows malware.
http://www.youtube.com/watch?v=TTHCYjFWqHA