I had this happen to me, it come up with some error message (can't remember what exact one but it had this white "X" on a red circle, you know the "Critical Alert" logo). Turns out my computer was infected (I had no firewal or anti-virus at the time ). Can you open the task manager (hit ctrl+alt+del and see if thit comes up)? If not, you're definitely infected.
What anti-virus program so you have? If none, I recommend you get Avira AntiVir or AVG 8 and scan the whole computer.
Also, what OS do you have? This happened to me on XP... I assume that particular virus could infect Vista and/or 2000 as well.