Yep, that popup was for a scam artist trying to sell you a likely useless product.. its a setup, fooling you into thinking that Windows is telling you something, when in reality its just a popup.

Can you tell me some more things, like the name of the program that you downloaded? I might be able to find more information about how to remove it and fix it.

Until then, I reccomend the following:

Ad-aware - scan and fix
Spybot search and destroy - scan and fix
Antivirus scan and fix

And try going here:
http://housecall65.trendmicro.com/

let it run a scan and fix if you can.