Beware of fake security warnings!
Sometimes you'll be surfing the web and a window pops up that looks like a legitimate warning from Windows. Before you click, read carefully and you'll find that it's just a pop up ad trying to entice you to a product site by clicking "Yes". I've even seen some with a shield that resembles the new SP2 Security Center logo.
Just click the X at the top of the window to close it and go on your way.