You must have clicked on something risky.
None of the major antivirus applications stop these things because of the way they work. Hence specialist tools such as the ones mentioned here: https://community.mcafee.com/docs/DOC-2168 you'll notice that Stinger is designed for things like Security Shield, but there are other suggestions there too.
There's an excellent removal guide on the web here: http://www.bleepingcomputer.com/virus-removal/remove-security-shield scroll down the page as the first links you see are all advertising.
All the major antivirus vendors charge for one-on-one virus removal but there is plenty of help out there available for free as I have just posted.