You pretty much screwed up when you clicked 'Yes' on that fake Anti-Virus message.
NO Anti-virus that you don't have installed will pop up and tell you that.
What you have going here, is a simple virus, that is trying to add a bigger one by you downloading
that fake Anti-Virus.
To add on what you did with the click on 'Yes'..
You shouldn't of done that.
If AVG didn't get rid of it, then try Avast! or any other free software until you get rid of it.
If you can't then that virus is probably a big one that will be very hard to remove.
You can shut it down, and take the hard drive to your local computer store and they can try and get of it.
(Which, they usually can)
If the problem continues and all else fails, restore your computer.
But DO NOT recover it from a earlier date.
It is likely that the virus got into the Recovery files so it can duplicate itself if you attempt to recover your computer.
Also, use Google. People will explain ways to solve this.
Also, clear your cookies and browsing data off of your internet browser, it may be getting stuff from there.
And avoid downloading anti-viruses that say they can get rid of something specifically.
It usually ends up being another version of Bullshit.(Fake Anti-Virus)
I wish you best of luck.
Oops, forgot to mention, If you know the name of the virus, look it up on google.
A lot of websites give you the main .dll files, .exe files, etc. of that virus.
And of course, you go in and delete them.