Popup Warning about Spyware and Adware

Hello, this is my first post here.

I keep getting this popup in a large yellow window - it shows most often when I first get connected to the Internet. (Note: I have both a popup stopper and Ad-Aware, which I currently ran and it got rid of any adware and spyware). This window has no X in the corner to get rid of it, so I have to go to another website in order to not see it. In addition, when I right click "Properties," there is no information available. What is this and how do I get delete it from my computer?

Here'e the exact text that comes up:
"We have detected that your PC may be infected with dangerous Spyware and Adware. Spyware and Adware typically record your online activity including e-mail passwords, Instant messnger, online banking transactions, chat rooms and all sites you visit. Once installed on your PC Spyware transmits your personal information to 3rd parties without your permission. Download our Free Scanner to find out if your PC is infected. Click here to download Free Scanner.