The moral to this story is don't click on anything that says 'click here to protect your computer'.

You need to use a selection of tools to make sure you're clean. A long time ago, you could make a Magic Bullet disk to boot the system and scan from a clean environment. The next best thing is to start the computer in Safe Mode and do a clean+scan from there. You can download a free 30 day trial of Kaspersky Antivirus, which is in a different league to AVG's Free edition, and that should sort you out in the short term. After you've cleaned yourself, either buy a copy of that and keep it up to date, or look at the other real offerings from Computer Associates, Kaspersky.

Also make sure you have a firewall - the firewall built into Windows XP isn't much but it's a million times better than nothing.

If your work uses Sophos AV, you may be entitled to use the 'home' version of Sophos (have a word with your IT department if you have one) but you can't get it any other way as it's a freebie with the corporate license. Sophos appears to be the nuts.

Don't go near McAfee. It's gay.