Clicked Link - Computer Frozen - Siren Going Off - What Happened?

Just had a strange experience. I was on a reputable, established forum. Clicked a link on someone's post. As soon as the new window opened up, everything went haywire. Beeping alarm noise, voice telling me that my computer had been infected (I think that was the term?) and saying that my credit card details and personal information was being sent to others, everything frozen - unable to close windows individually or shut off IE by clicking 'X' top right of screen, and also a voice urging me to phone a number so they can walk me through what to do. If I don't, my pc would be locked. Also pop ups on screen asking for user name and password and ones telling me IE had stopped working.

Can I ask what that was all about? All I could do was turn off my desktop pc on the main power switch and restart. Avast smart scan found nothing. All seems to be working ok now. Is there anything else I should do? Was I right to just turn the power off?

Many thanks to anyone who can advise.

Another way to get out of sites like like that are to press the Alt + F4 keys, This will kill most (if not all) application's that have focus.

Thanks to both of you for your advice and help. I'm not sure what task manager is. I have Super Anti Spyware on my PC. Will a scan with this do just as well as Malwarebytes. Will scan anyway with it.

Will also remember the alt + F4 trick. Just surprised that something like that can take over and jam my pc, especially with Avast security.

It sounds to me like you killed it before it grabbed your computer.

All seems to be well. Super Anti Spyware found nothing, but I restored my pc to the day before the strange event just in case. Everything works fine.

Thanks again and I will use Task Manager, as Paul has suggested.