Yeah you did the right thing. I get those pop up a few times a year, they're fine as long as you don't click on anything on them, they tend to be more malware than anything else, but better to be safe than sorry. They tell you your computer is infected and want you to download something to clean it up, they always 'find' about 20 trojuns and 35 viruses, erm yeah how dumb do you think my anti-virus is?!
I always have to shut down and restart my computer as they are usually impoosible to 'x out' I then run my anti malware, which occasionally picks something up and deals with it.
They're another version of the phone calls from someone claiming to work for a company that has detected a virus on your computer, erm how do you know? Are you hacking into my computer? That's illegal........cue them hanging up