It is rogue anti-spyware and just clicking on it, even the 'X' to dismiss it would activate it. I doubt a normal removal has got rid of it.
The normal thing to do when anything like this hits is to do a hard power-off and then reboot to Safe Mode and initiate System Restore.
Your first weapon is System Restore to go back to before all this started but, if successful, don't forget to update everything afterwards.
Second weapon would be to install and run Stinger and Malwarebytes Free, both linked in the last link in my signature below.
With Malwarebytes don't accept the trial offer or you will get the paid version.
See how that goes.