Just close the dialogue box. It's a popup that is designed to look like a Windows dialogue box. A lot of people actually fall for the trick and click ok.
If you ever get any message boxes like that again that say "click here to download..." then it is definately just a popup. Dont worry. But I would recommend you regularly clean your computer of spyware.
I tend to use Spybot:
http://www.download.com/Spybot-Searc...g=pop.software