Pop Up Message from IE or AVG? advising me of numerous imminent threats to my PC.

While on the net this morning - IE 7.0 and WIN XP Professional running Zone Alarm firewall and NAV 2009,  I suddenly got a display warning me that several viruses? threats? trojan horses? wre about to attack my machine. 

The names were in displayed in vivid red print and the warning was urgent that I needed to to eliminate them before they could render my PC inoperative. I didn't recognize the source of this information, but thought it came from IE and thought I saw something about AVG in the message.  It urged me to immediately download some software to counter the threats that had been identified.  I regret that I didn't make a list of them, because I was too busy scrambling to try to verify the authenticity of the presence of the threats by running a scan on NAV.  However, I could not intiate any action from NAV by cllicking on the desktop or tray icon.  In fact, I got some strange blanks on the screen.  However, a check of my security settings through the XP control panel indicated that NAV was operating OK,  I tried to reinstall NAV 2009 from disk, but my only option was to uninstall before I could reinstall, and I was reluctant to do that considering the dire warning I had received.  So I risked ignoring the warning and restarted my PC.  The warning vanished, and my PC continued to run without a problem, but I still cannot access any NAV options.from the dssktop or tray, or from the C drive program file.  Has anyone else encountered this phenomenon.  Any suggestions about how to get my NAV options back?  Thanks in advance.