I have run into this thing 3 times. The first time it just popped up and said it had detected a virus on my Mac and asked if I wanted to run a test for other malware. I answered NO but it installed the virus anyway. Although I don't run it regularly I do have ClamX and it found it and isolated it. The next two times I closed the window and then quit Safari. No problems from those encounters. Just don't click on anything on the screen but close the browser and/or the window and everything will be fine.
What browser were you using? Safari is set up to default not auto-opening. But even then - if a browser is set to “auto open”, the installer for “MacDefender” still requires the user to ender the administrator password (even if you are logged in AS the administrator).