System Alert Fake Screen

I was on my laptop yesterday and I typed in the weather channel. But apparently, I mistyped something. Because instead of getting the weather channel, I heard a noise like those alerts on televsion. And when I looked at the screen, it was blue and had a lot of text on it. I think it might have said something like System Alert or something like that. And I think there was a panel in the center of the screen. And a lady was talking and saying if you were seeing this screen then you were already infected and you needed to do...
 
I hit the close on the browser. There was another pop up that said "The website is asking if I really want to navigate away." I clicked on the browser close x again and firefox closed. I would have used the Task Manager to force firefox to close at thatpoint, but like I said it closed. I then ran a scan with webroot and nothing was found. I shut off the machine, disconnected an external drive and restarted. Everything looked fine. I checked my files to make sure they weren't being encrypted or something. I ran another scan and everything was fine.
 
Should I scan the external drive? I know that Webroot doesn't usually scan complete drives. Should I maybe also run a scan in safe mode? Or do you think I'm probably OK?
 
The system seems fine. But I never had anything like that happen before.