Thats an "ad" designed to get you paranoid so you'll click on it in hopes of removing
spyware that may or may not be on your computer. Which is exactly what you did.
Download:
Spybot Search and Destroy
No Adware
from
www.download.com
...and most importantly...stop clicking on every ad that shows up.
You might also want to download a popup blocker. Google Toolbar is good for that.