When ever I boot up or try to go into the internet I get a window with the banner:
System Error!
in the sub window there is a circle with an X in it and the warning:
    Your computer was infected by unknown trojan.
    It's dangerous for your system (critical files can be lost)!

    Click OK to download the antispyware program to clean your system!
    (Recommended)

and then OK and Cancel

HELP

DO NOT CLICK ON THE AD!  It will download massive crap onto your system.  I recommend downloading and running avg antispyware and/or ccleaner.  Both can be had at http://www.filehippo.com/

   Yes, I would agree with biguglyman about not clicking on the ad and getting an antivirus program.  Avast is a good free antivirus program - http://www.avast.com/.
   I would NOT suggest CCleaner.  It is not an antivirus program and will not help you at all with your problem.  It really does little of nothing but remove a few files from your computer, despite what it brags about doing.  I tried CCleaner and was very unimpressed with it.

Ccleaner will remove the cookies and temp files where a lot of these things dwell.  It also contains a very capable registry cleaner.  I recommended avg-antispyware because it does a very good job of finding and removing trojans.  I guess we should also have told this person to make sure their antivirus software is up to date and run a full system scan with that also.

   I hate to disagree with you but viruses do not dwell in cookies and rarely in the Temp files.  The registry cleaner in CCleaner cleans only a small fraction of the registry.  It basically cleans what the Lists Cleaner in RegVac cleans.  The Lists Cleaner is only one of six cleaners in RegVac and just that part of RegVac cleans more than CCleaner.

Thanks guys, I really appreciate the input and will look into getting the avast program, I do use spybot which I think works pretty good.  On the problem I first had, it was on a laptop of one of our friends, she had just gotten it, so I tried a couple of things that did not clean it so I took her back and did a restore to a few days before she started having the problem and the problem was gone.

Quoted Text I hate to disagree with you but viruses do not dwell in cookies and rarely in the Temp files.

I never said they did.  But a cookie or someone dropping said cookie could be behind the pop-up she's getting.  I don't necessarily think it's a virus causing this.  Probably some kind of mal/spyware.  I use regsupreme to clean my registry, but that costs and I think ccleaner (being free) is better than nothing.

There is no better software than HijackThis for locating and identifying viruses etc.
It is fairly sophisticated but there are many forums that will help you interpret the results. for a start check out:-

http://www.download.com/Trend-Micro-HijackThis/3000-8022_4-10227353.html

I don't know if you got it on myspace.  I got something similar to this and I ran spyware and other programs to try to get rid of it.  To no avail I did a system restore and it fixed the problem.  No problem since.