Computer Virus Help Needed

I learned the hard way to NEVER, and I mean NEVER click on ANY box that pops up like that. I will either go the tool bar where the IE icon is at close it there, or do the Control/Alt/Delete button and go to Task Manager and close the browser there. If you are able to use the PC otherwise, you might try this.
http://www.microsoft.com/security/scanner/en-us/default.aspx
It is for free, and it scans and will remove a lot of different spyware and virus's and hijackers.