Be very careful about what you're clicking on when surfing the Internet.  Take, for example, the following image:

At first glance, this looks deceptively like a real Windows 'Window', but it really is trying to get you to buy something, infect you with something, or at the very least, go to a site you really don't need to visit.  Look carefully at the title bar (blue bar at the top of the window) and the status bar text (at the bottom of the window).   If you try to click the 'Next' or 'Cancel' buttons, they've got you.  Closing it with the red 'X' in the upper right corner is your best bet.