How do you not get fake antimalware viruses?

Ive had bad luck getting these and spending hours trying to get rid of them probably 6 so far and one over my friends house. I know they usually attack on hijacked websites or links, say YOU COMPUTER IS INFECTED!! what should I do once I see this, somtimes when I click back I dont get it, other times it dosent matter you click. If I shut down my computer once I get the notification can that stop it or is it too late?