You can open the task manager and use it to kill the process behind that scam. You can summon it by using this keyboard shortcut: Press Ctrl + Shift + Esc, as you release the ESC key, the task manager will start.
Once the task is killed, in the explorer, find the associated files and delete them.
If you can't kill the process, restart and press the Ctrl key as the desktop get loaded. It stop non-system processes from starting.
You may need to start in safe mode if the previous steps don't work.
If you have more than one profile, try logging directly into one of them. Maybe the scam is only installed for a single user. Use that other profile to suppress the offending files. You need to have administrator privileges to do this.
Electro, January 2013