If it is a fake AV popup the safest way is power button and reboot into safe mode and scan. Usually depending on the versions of malware clicking X to close it installs the payload.
What is the name of the scanner at top of the popup
Some free scanners
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You could also try using System Restore to go back to before this happened and that can be done in regular or safe modes.
If successful temporarily turn off system restore to delete the 'infected' restore point. It's mentioned in that link that Peacekeeper posted.