Warning dangerous spyware message – how to remove it?

I tried downloading some music files from the internet and then I got a flashing message on my screen saying “warning dangerous spyware – there are many viruses found on your computer”. The desktop background has also turned black.
There is a red circle with a white cross in the taskbar saying to download an anti spyware tool.
How do you fix this

Download, install, and run the following anti malware programs. That should take care of your problem.

These two are probably the best and both are free.

Adaware

http://www.download.com/Ad-Aware-SE-Personal-Edition/3000-8022_4-10045910.html?part=dl-ad-aware&subj=dl&tag=top5

Spybot S&D

http://www.download.com/Spybot-Search-Destroy/3000-8022-10122137.html?part=dl-spybot&subj=dl&tag=but

Malwarebytes

http://www.malwarebytes.org/

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