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Until you have actually downloaded something you are pretty safe. Was this on of the Department of internal Affairs warnings?
I'm not sure - as soon as I read the start of the notice, I was pretty worried, so clicked the close button without reading the full story. It did look like an more official looking page though rather than a commercial message
There are some blocking messages set up by the DIA, partly to protect people. As long as you have not downloaded anything objectionable you are safe.
If you are concerned you can check the browser history on your computer
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