intrusion attempt by antyspywareexamine.com was blocked

I just got this message.

 

"An intrusion attempt by antyspywareexamine.com was blocked. Application path ...............IEXPLORE.EXE"

 

I'm glad Norton blocked this but how can this happen? I wasn't at a site that wasn't safe. I had been to my own website earlier and a page from there was in my browser. I was actually doing other work on the computer that didn't involve the Internet.

 

I'm sure that it was one of those 'your computer is infected' scam warnings but I'm wondering how they can just pop-up like that? I have been to a few sites that Norton has warned me about but always leave when I get a warning. Is a complete scan in order? Thanks.