It sounds like that first pop up was just a gimick, trying to scare you to clicking ok.
A website cannot scan your computer to tell you if there is a virus.
So if something tells you there is something wrong, without you asking or anything like that - its spam.
Although I don't think these kinds of attacks have been updated to work on phones like they do on computers, I would still suggest you grab an anti virus program from the play store. They will scan your phone (free) for known trojans and such.
Have you noticed slow performance or any other issues since this happened?
To clarify, a website can't scan your computer directly, but it can convince you to click a button that causes your browser to download a java app that can scan your computer... or do other things not so innocent. If you don't have Lookout Security on your phone, you should install it immediately. Upon installation, it will scan your phone for known viruses. If none are found, you might be in the clear. You can either move the Lookout app to SD and keep it, or delete it from your phone.
If you're really paranoid, you an do a Factory Reset, which should give you a clean start.
Do you recall what website you were attempting to visit when this came up?
The pop-up itself is suspicious, particularly if you haven't installed any antivirus on the phone. McAfee Siteadvisor on a PC considers warning.yourmobile.info to be dangerous. I'd suggest if you haven't got antivirus, to install one, and use it to scan the entire phone. There are many choices in the Play store when you search "antivirus". Most of us here use Lookout, Avast, or AVG.