Download and run the Fake-Alert Stinger here http://www.mcafee.com/us/downloads/free-tools/fake-alert-stinger.aspx
If that's unsuccessful then try the removal guide here: http://www.bleepingcomputer.com/virus-removal/remove-security-sphere-2012
Ignore the first links you see as they are ads that supoport their website and scroll down to read all of it.
Thank you Ex_Brit! I think the virus has gone on its own. I've ran Malwarebytes once again and it says my PC is clean. No more annoying pop-ups. Yeahh! Just one more question... why McAfee didn't detect this virus?
There are many things that antivirus applications alone can't deal with. That's why it's a good idea to keep extra software such as MBAM around and updated, just in case. McAfee has tools as well and they are mentioned along with a few 3rd party ones here: https://community.mcafee.com/docs/DOC-2168