It's adware. It means you already have malicious software on your computer. You should run a scan.
No it doesn't.
This happened to me on STEAM with the built-in web browser on there. I quit out of the game and completely scanned my computer for malware/viruses/trojans, nothing.
As long as you don't download the rogue antivirus program, you're fine. It has something to do with the site being infected.
But yes, if that happens, quickly close out of the page. Don't download the software. Stay off the site for a few days.