Our home network was recently invaded by the electronic version of urban terrorism. Two of our family's four computers were very sick. It took several days to remove Antvirxp08 from the computer used by the kids and one laptop had to be totally reformatted and restored, losing the draft version of a book in progress.
What should you do if you encounter a pop-up telling you about a security problem? Contrary to conventional wisdom, don't click on any close window buttons you see in the window. There's a good possibility that clicking that red X will actually start the software download. The way to reliably get rid of these pop-ups without risking clicking on them is to right-click on the appropriate item in the taskbar, then click Close. If that doesn't work, exit your web browser entirely through the File menu.
And last but not least, back up your important files occasionally!