Be careful how you close these popups too. Clicking the "X" in that window may be the same as clicking "yes".
Safest, if you suspect a problem, is to close the browser.
A month or so ago I got that kind of nasty virus and it took a format/reload to get rid of it. McAffe was useless and none of the scanner/removers I could find would remove it.
The bug intercepted any system calls to Windoze so you couldn't get to command prompt, regedit, restore point or the normal remedies.
