That sounds like some of the ads that I have seen. They are meant to look like a legitimate Windows warning messages in order to trick people into clicking on them.
I don't know how much computer experience that you have, so I will just tell you what I did to overcome the popup ads and security issues online. I'll try to explain it in terms that I would have understood when I was just starting. I don't mean to offend.
I would start out by downloading and using the ad-aware program that I mentioned above... it's free and it has worked good for me.
The next thing is a good firewall.
A firewall is a program that blocks un-authorized internet traffic into and out from your computer. That means that you will have to spend a little bit of time configuring the firewall to let it know which programs you want to allow to make a connection.
I use the free version of zone alarm found at this site.
http://www.zonelabs.com
It is very easy to configure and use and it works well.
To configure it, you just use your computer as you normally would. As each of your programs goes to use the internet, a message box will appear (yes, another popup :-D) asking if you want to allow a connection. You can then assign or deny permission.
Now the popups.
I use a free program called the Proxomitron.
http://www.proxomitron.org/download.html
The proxomitron takes a little bit of work to get running,
you have to configure your browser to use a proxy.
There is a readme file that comes with it that has good instructions on how to do that.
I see that they have a version that comes with an installer.
Maybe it helps make the adjustments to the browser.
Once I got it running, I have not had a single popup ad. It still allows links to open in a new window on FR though.
It also blocks a lot of banner ads on web pages.