Online virus??

I have read that others have also been surfing when "out of the blue" the screen changes and I am told that my compter is infected and that an immediate scan is necessary.  I am a fairly fast reader, but the scan appeared to start before I was even finished reading.  I have Norton Internet Security installed, updates & scans are done every day.  Norton did nothing and I finally closed IE.

 

What is the best thing to do when this sort of thing happens?