I got one of these a week or so ago whilst just playing around. (mine even spoke to me and read out the message)
With some, even if you click to close the message it won't go away.
When that's the case (as in mine) it's because a process has been started.
Pulling up Task Manager and searching for the strange process and closing it, clears the message. (or reboot as Tony said)
Normally there's no after effects... it's just a money making scam.