NIS 2010 did not prevent and cannot remove "XP Internet Security 2010" malware

Viewed a U-Tube video last night from a supposed safe site per NIS 2010 and picked up an aggravating popup that says it is an unregistered version of "XP Internet Securtiy 2010".  It shows you have all kinds of nasty virus that are high risk and of course wants you to purchase there software to remove the virus.  After a little research it appears this is a malware hoping to trick you into giving them your credit card number.  I am running Windows XP with Internet Explorer 7 that are both kept current with automatic updates.and have a cable Internet connection .   

 

When the popup came up, I could temporarily stop it by doing an end task in Task Mgr but after about a minute it would pop up again.  I tried running a quick scan but Norton did not find anything.  I then tried a full scan and again Norton did not find anything.    I finally ended up getting rid of it by doing a system restore to an earlier date. 

 

Shouldn't Norton have been able to detect and prevent this malware from getting into my registry?

Is there way to advise Norton of this issue?

Should I be running additional software to prevent this type of attack?