One good trick to follow is create a separate RESTRICTED account on your computer, and use that most of the time, except for when you really need to do administrating stuff. This has saved me tons of times from worms and viruses.
Another thing you can do is stop using Internet Explorer. It has about 30 bugs which microsoft cannot fix. Personally, I prefer using Mozilla.
I have also been getting messages like those from my friends. I think Ad-Aware has a scan for it. You can download ad-aware from
www.lavasoftusa.com .
Hope that helps!
Regards,
-Bharat