It’s a scam. You browsed a website that’s running a script that is trying to trick you into downloading a malicious program. (Note that you may not have gone to the site deliberately; it could have been passed to your computer via an ad on an otherwise legitimate page you browsed.)
Press ctl-alt-del and click the Task Manager button. Find the browser on the Applications tab and close it from there. Also, go to the Processes tab and check that the browser isn’t shown as running there. If it is, kill it there as well. If you still have problems, reboot the machine.