I have received this warning a few times recently from clicking on a link in Facebook. While it is clearly a scam, the webpage you arrive on will not close. To solve this (at least on a Windows PC):
 Hold Keys: Ctrl + Alt + Delete
 Start Task Manager
 Tab: Applications
 Select Your Browser(Chrome Firefox etc): End Task.
Note: When you re-open the browser do not restore pages.
Using the Task Manager can be a simple way of closing down unwanted or malicious programmes that may be running. So before getting caught out with a scam like this, it is worth practising the above so if you need to shut something down, you will already know how to. Try the above now. It will not hurt.