This scare is some invention of someone who wants access to our machines. How do you know they aren't downloading spyware to your machine when you click on the link?
From the page where you can check to see if you are infected:
http://www.dcwg.org/?page_id=381
“For example, the http://www.dns-ok.us/ will state if you are or are not infected (see below).
- No Software is Downloaded! The tools do not need to to load any software on your computer to perform the check.
- No changes are performed on your computer! Nothing is changed on your computer when you use sites like http://www.dns-ok.us/.
- No scanning! The “are you infected with DNS Changer” tool does not need to scan your computer.”