If you get a window that opens up without you telling it to, a pop-up window, that is advertising something or warning you about something (unless from a program that you know you installed on your computer), it is most likely spyware and you should run your spyware cleaner to remove the infection.  Most virus scanning software will not find spyware because it is a different kind of software.  You will need both a virus and a spyware scanning and removal software.  Some scanners will scan for both virus and spyware infections and so, in that case, you would only need to have one scanning software package installed on your system.