Adware programs desguised as msn images

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I have recently received an e-mail from my sister with four pictures to download. And I did...

The silly thing was when I clicked on the link "img_18" instead of the normal options "open, save and cancel" for files I had "run, save and cancel", which makes me feel even more stupid for having accepted it...

This was the only one I opened but it left something that my "sophos anti-virus" called "malware", if I remember correctly (may have more letters).

Two days later my laptop refuses to access windows, saying that it wants to protect my files. It gives me several options to enter windows (including safe mode) but none works.

I have a someone that can make my computer access windows again, however, I would be eternally grateful if someone could tell me which programs (anti-spyware, anti-adware, anti-virus, anti-popups) I should install to remove this program and prevent similar situations in the future.
 
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