Add:
Ya, I do so hope you've not clicked on the "X" to close, or perhaps clicked anything else on the pop window...did you?
Those are delivered using what's known as "JavaScript" and they are fake warnings or other enticing "scarware" tactic meant to get the user to do something rash out of fear or panic.
Internet Explorer is notorious for this kind of crud.
It's hard to draw any conclusions about the malware that may have gotten installed, but for what it's worth, stop using Internet Explorer and get a browser that's worth a darn.
Try "MalwareBytes" to start cleaning up your system:
http://www.malwarebytes.org/
(free version has no "real-time" shield)
Get Firefox as your default browser & use it for all tasks.
The following mods help, but methods ("vectors") are dynamic, and users must be aware of emerging threats.
FIREFOX: Tools> Options> Privacy> top drop slot set to "Firefox will use custom settings..."> Check 'Accept Cookies from sites' &
►Un-Check 'Accept 3rd Party cookies'.
A good collection of effective security & privacy add-on's (Official Mozilla) is here:
https://addons.mozilla.org/collections/dunbar-pappy/dunbarpappy/
►"AdBlock Plus" (with 'subscription' added) helps defray rubbish.
► At minimum, get the #1 item for malware prevention: "NoScript", which constrains automagically fetching & deployment of potentially tainted assets, and offsets the Microsoft install if it's rubbish.
Bookmark and refer to this page for how it works, and how to use it when sites don't function as you need: http://noscript.net/features#contentblocking
Good luck.