That popup you're getting is the virus/malware you've got, not actually windows telling you you're infected, clicking okay won't help you as you need to kill the infection. Virus scanners won't help you and probably not spybot or AVG Anti-spyware either. You'll need to find the specific fix for the infection you've got, there's a bunch of forums out there to trawl through (eg http://archives.devshed.com/forums/computer-virus-128/) but best bet is to search on the specific infection you've got.