Threat detected.. should I be worried?

[Blaaaaaaaah]

I was on a tourist accommodation site and I accidentally clicked something, and then a box popped up on my toolbar that says "Updating...". It looked dodgy so I tried to end the task, but before I could, the warning popped up saying the file was moved.

I looked up regsvr32.exe... but I don't really understand it. One site says it might be dangerous but another says it's not? @_@"

[Edit: weird thing was, there was no ads on the accommodation site. =/]

And for some reason I can't see the folder names of my folders... I dunno if that was cos of the "threat" though? But I can still access them fine...