Another thing to keep in mind is that sometimes when you receive this pop up, it doesn't necessarily mean that you have been infected by the virus. It may just mean that your AV system has noticed the virus and caught it before it could infect your system.
As per Sampson, you should definitely run a few scans to see if you have caught it or not. A good indication if you have really caught it is to run the scan twice (don't surf in between). Run the first scan, then reboot, then run it again. If it shows up again, then you definitely haven't gotten rid of it. Running it in Safe Mode also helps.
There are tools which you can download and run (usually from Symantec) which can fully remove these viruses from your PC (registry entries and all), but these are particular to the virus and some viruses do not have an easy removal tool.
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I swear, troubleshooting is a science: the best discoveries are always on accident...