Computer virus detected!

I need some help,I was chatting with a girl i think on yahoo im and sent me a link to her supposed web cam show. I clicked and asked if I wanted to run or save the file,I went to run it but came up saying run only if you trust the website.I didn't click it at first but after a few minutes I clicked to run the file a few second later a thing came up reading THREAT DETECTED! do I have the virus,or was it a warning? I have AVG Anti Virus free edition,I'm scanning right now,nothing detected yet and my comp seems to be running ok....Any help would be much appreciated. After I opened the THREAT DETECTED message came up my comp froze so I x out of the web browser,went back on went into my email and deleted it.
 

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