I think the best thing to do is to disconnect from the network before you click on anything. Then close the window before restarting the network (personnally, I also run a quick scan wth Norton before reconnecting). Clicking on OK while connected to the network will almost surely result in an attempt to install a virus or trojan on you computer.

I do get a log entry in Norton for every one of these and I get a pop-up alert saying it stopped an attack. Even posted a couple of partial log entires earlier in the thread. Every scan I have run for this problem has come back clean.