Never click on "okay" or "cancel"

While browsing for images (as in 5 minutes ago), I got sent to an infected website that had various scripts that would not allow me to close the tab nor the browser.  In a case like this, go into your Windows Task Manager (Ctrl+Alt+Del) and manually shut the browser down.  When you re-open your browser, do not re-open your closed tabs if prompted to!  The final step - no you're not done quite yet - is to purge your cache.

If you look at the image below, you do not want to click on either the "okay" or the "cancel" buttons in the pop-up dialog box.  You will want to click on the "close" button at the upper right hand corner (at least temporarily, it'll close the dialog box).  Clicking on the buttons in the pop-up dialog box triggers any sort of script that was written for the button.  In some cases, the author of the malicious script may have included a script to hide the (x) close button box by removing the "chrome".

In any case, the only way to get rid of your problem is to go into Windows Task Manager and end the program.

Update @ 7/26: Forgot to mention that you will have to perform a scan to remove the malware that was already present on the website you visited and showed the spoofed virus alarm!