Im a Newb, and have a Huge problem - Popups saying i have spyware?

Downloading files i shouldn't, i opened one i wasn't sure of (stupidly) nothing happened, but the file dissapeared.
My Desktop wallpaper has changed,
With a link, basically saying i have spyware on my computer with a link.
My task manager has be dissabled.
Every now and then a pop up will appear saying i have spyware, (saying its windows) but im not so sure it is.. also, in the bottom right hand corner of my screen many small messages pop up saying my computer is running very slow and that i should download or buy certain anti-virus programs.

Im quite worried about my computer, would anybody be able to help me?

All replies happily accepted.

thanks