If you ever get this message just restart immediately, never hit OK, as Pugs1957 said, hitting OK and clean will just infect the heck out of your phone.
I usually hit Airplane Mode, Immediately close the browser, and wipe the history and such before reconnecting to the network or WiFi... I hate it when websites let that happen...
You dont need to go to such extremes.
I just closing out the window, like any pop up. Or if they're persistent going through application manager settings and clearing cache or data does the trick and gets rid of the website cookie.
Just think of it like a computer pop-up with virus alerts. There's no virus unless you download it. I most of time it just them trying to get you to download cm cleaner or battery doctor