My PC was to be "shut down" because it was infected message?

I did not know what to do so I did "ALT, CTRL, DEL" and terminated the running program.

That got me out of the loop, infected message.

I then ran MSE Full Scan, WebRoot Full Scan, then MRT /F:Y.

I ran these to try and get rid of "whatever infection" I picked up.

I do not know if it's still lurking on my PC as none of the above reported finding anything.

I'd appreciate any feedback on: what it was, how to avoid getting it and how to insure it's really gone (if it is).

I would like to answer your questions but I cannot.
I panicked and went to the Task Manager and cancelled the only Task running.
Then I ran the AV Full Scans.
The Messages have not reappeared.
I am so much of a novice that I would not recognize if a Message was in a Browser.
Is the process of checking for AddOns or Extensive a difficult thing?
Thanks again for your reply.

I had this happen to me. And i was on Facebook. Just opened Task Manager and closed Edge. Did not get it since

I'll be on the alert for another occurrence. So far, nada and I like it that way. I wish I had the sense to write down which Web Site I was on when it happened.