That is a phony virus alert from a web page (or banner ad) which pops it up. Your Mac does not have a virus.
But it MAY have some trojan horse malware that you installed — did the video site say you had to download and install a “codec” or some other software to play the movie? http://www.malwarecity.com/blog/top-5-malware-for-mac-os-x-users-should-know-about-996.html
If so, you shouldn’t have done that, you gave explicit permission for a trojan horse to install itself. Antivirus software can’t protect against user permitted actions.
If you have a redirect trojan on your machine, the first thing is to clear your browser caches.
In Safari, go to the Safari menu and select Reset Safari, make sure everything in the dialog box is checked, and click on Reset.
in Firefox, clear your cache and cookies – http://support.mozilla.com/en-US/kb/How%20to%20clear%20the%20cache
The more serious of these trojans also alters the DNS Hosts files on your machine, so they can’t be cleared just by clearing caches, history and cookies. Here is a removal tool if you have the DNSChanger trojan http://www.dnschanger.com/
If you want to be sure you have no virus remaining, here are some virus scanners
Here is a backgrounder, and a review of 5 programs
PC Tools has a free antivirus
As does Sophos
Of course if you have installed Bootcamp (or Parallels or Fusion) and Windows on your Mac, the Windows side will have to have up to date Windows anti-virus and anti-spyware installed like any Windows machine.