This threat is a nasty one. It gets in and starts informing you that you have all sorts of viruses, trojans and keystroke loggers.
Well... they lie, but you are infected - with their software. They do all sorts of things to REALLY scare you into clicking their "solution" (which is to pay them $40 and now they have your credit card info...)
DO NOT CLICK ON ANYTHING! Not even the red X in the upper corner to close it!
They lied about finding infections - they will lie about making that red X close the program... by clicking it you are giving them permission to run their software. And they will...
Click on <ctrl><alt><del> and then open the Task Manager. Select the program on the Applications tab and click on the End Task button.
It takes anywhere from 1-5+ hours to clean up one of these infections. Seriously.