Spyware Problem or something of the sort?

I tried downloading a file last night and it ended up being called setup 903. I opened the program and it disapeered from the file and now i have a “look-a-like” mcafe warning your computer is infected poping up in my start bar. It says “You have a security problem!” and i know its fake. When i have clicked on it it sends me to this site and tries downloading fake spyware onto my computer

Spybot Search & Destroy can fix this problem.

Spybot-Search & Destroy (Spybot-S&D) is a popular malware,
spyware and Adware Removal program, which is free.

http://www.safer-networking.org/en/download/index.html

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