Here is some good info on this problem:
http://www.microsoft.com/security/antivirus/rogue.aspx
Since you aren't downloading anything from this site it probably didn't come from here, but may have piggy-backed in on an email from anyone.
My kids clicked on the pop up and caused us quite a headache. It kept disabling my anti-virus software before I could run the scan.
I was able to go here:
http://www.malwarebytes.org/ and use their free program to clear the problem.
It's not really a virus, it's "malware" so it didn't do any permanent damage but sure was a headache and it sure could lead to bigger problems.