What the heck is this pop up?

It's a trojan usually or a rogue. If you already save it then you have the virus already. If you didn't then your protection on your system is weak because it didn't detect it. If you are infected use combofix from bleepingcomputer.com to remove most virus, then use malwarebytes from malwarebytes.org or softpedia.com, finish most virus off with superantispyware from superantispyware.com or softpedia.com . For better protection in the future use Avira as your antivirus and choose from a good firewall such as Online Armor or Outpost Firewall. Good luck!