When I see that happening I first try clicking the red x in the top right corner. If that does not work I right click the taskbar at the bottom, click task manager, click application,click the line that the is the virus downloading anf then click end task. Sounds like a lot but is not if you practice it- if you end a task one time you can start it again- no harm. Final try for me is to pull the plug. I never have any trouble from pulling the plug, but I have heard that others have- only rumors.

If you can actually see a virus infection happening, your first priority is to try to stop it. Get your computer off the network immediately. If you have a good firewall, it will have a quick way to do this, but if you're not sure, just pull the network cable from the back of your computer. With luck, this will stop the virus download altogether, or at least keep the virus from infecting other computers on the same network. But, for safety's sake, AVOID restarting your computer until you're sure the virus is gone, as this will give the virus more opportunity to cause damage. Assuming your computer is running a recent version of Windows, the next thing you want to do is close all the programs that are running. Exit out of anything that's on the screen, then press control+alt+delete to bring up the task manager. Make sure the applications tab is empty, then go over to the processes tab and end anything that looks suspicious. (Familiarize yourself the processes list when everything's fine, so that you can recognize what should and shouldn't be there if problems arise. But if you haven't taken the time to find out what should be there, don't try closing things, as you could crash the system if you close the wrong processes, and you don't want to have to reboot.) Closing these programs gives you your best bet of stopping the virus in action. After doing this, run your anti-virus software (which you should have kept up-to-date) to make sure that the virus is gone for good. In the case of spyware, the steps in the first paragraph of this answer are unnecessary, but do close out any programs and unfamiliar processes that might be running. Then use a spyware removal program.