Malware takeover

How can stop an advertiser closing my browser window and only giving me a choice of clicking OK or cancel on the dialogue box they provide? Cancel had the effect of 'downloading Malware spyware' which told me I have 14 infected Windows files before I forced quit from the browser.

I don't know what was going on as I haven't fourteen infected Windows files as I haven't any Windows files on my Mac, but I will move my fora elsewhere if this can't be stopped.