There are a host of new viruses that sneak onto computers by posing as anti-virus software. These viruses have names like Antivirus2010, Total Security and the likes. Unfortunately, the creators of these viruses pay money to legitimate ad-engines and so you get their pop-ups just like you would any other pop-up. The difference is that their pop-ups look like a Windows message, not a pop-up, and the message tells you that your computer is infected with a virus. (note: A great way to avoid viruses of this nature all together is to run Firefox with the Adblock plus plugin which will prevent you from ever seeing most of these pop-ups.)
The first pop-up will often look something like the one below. The key give-away that this is not a real virus warning is that it says Windows Internet Explorer on the bar at the top (note where it says "Windows Internet Explorer" in the blue message bar at the top). The safest way to close this message is to press alt-F4 at the same time which is an easy way to close the open window without having to click on anything.
Your also liable to see a message that looks likes one of the messages below. If you see any of these messages, reboot immediately and then run your virus scanning software. The messages boxes can be very confusing and so it is very easy to accidentally install the virus. By rebooting as soon as you notice the message you greatly reduce the chance of actually getting the virus.
If you do get the virus, Malware Bytes tends to do a good job of removing these viruses (although sometimes additional software is needed). Do not try to remove these viruses manually as there are so many variants that any documentation you can find on manual removal is most likely incomplete and will not fully remove the virus.
Remember, be smart, read before you click, keep your computer and your anti-virus software up to date and you'll have the best chances of staying safe on the internet.