System Alert: Trojan-Spy.Win32@mx

I need some help... I have no clue what to do. If someone could please tell me what to do step by step to get rid of the pop up, that would be great. Thanks guys.... or girls.

Use the free AVG Antivirus, AVG AntiSpyware, AVG Rootkit, then Adware 2007 and Spybot 1.4. Works for us on all client computers for that Trojan series.
Install them, search for, or request, the updates, then scan your system.
Then immediately reboot in Safe Mode and run them again.

Removal Instructions.

1. Temporarily disable System Restore (Windows Me/XP). {How to}
2. Download Free AVG AntiVirus and save it to a desired location. It is your choice if you want to retain this software or remove it after the cleaning process.
3. After downloading, browse where the file was saved and double click to install it.
4. After installation, connect to internet and download all necessary updates.

5. Download SmitfraudFix and save it to a desired location.
6. Reboot your computer in SafeMode {How to}
7. Run AVG and do a thorough scan. Delete all infected files.
8. Close AVG and other open Applications.
9. Run and follow the SmitfraudFix procedure, that you downloaded earlier.
10. You may now reboot in normal mode if it does not reboot automatically.
11. After reboot, download and scan with CCleaner.

Regards Jase