Windows locked

I clicked on an email and got a popup that my computer was locked, my spirit told me this may be a scam but I called the number on the popup. Long story short and even though I felt I shouldn't do what the person on the phone suggested (she said she was from Microsoft help desk) I did including downloading UltraVeiwer. The person I was speaking to said they would clean my computer and notify Windows security. I am not computer literate so am at a loss what I should do to protect myself now and if I should delete UltraVeiwer from my computer? I don't know what to do.