certain websites.....

...seem to lead me to other websites which come up as a green tic by McAfee site advisor, but then it suddenly comes up with an error message saying my computer may have harmful or malicious software on it, even clicking the red X it still brings up my computer and a thing saying it is scanning, then when i quit it, it says something similar to: The scan has not completed so your computer may not be safe, press OK to continue and install our anti-virus software.
Luckily i closed it rather than clicking ok. But my computer may be harmed, although both Avast! and MBAM seemed to have detected nothing. I am sure that the thing is a scam, but do you think i should post a HijackThis just in case?

just found out the name is this crappy personal antivirus thing? It seems to think i have an email worm despite the fact other scans prove otherwise...

Yeah, definitely malware. Post your HijackThis log in the malware removal forum.

When i come across websites that automatically open free virus scanning popups, i usually Alt+F4 / Close them via the task manager. (Even if it means closing my 20 tabs i seem to always have open)

Yeah, clicking the "close" or "ok" button might result in downloading that malware.

Clicking the X at the top right hand corner could possibly do it as well in some cases?

It won't, but after click the red X more windows will still pop-up. In some cases, the malware might enter your computer even without you clicking on anything.