I'd say treat it like there is something nasty, at least to be on the safe side. The best way to be sure is to use a couple of programs to scan your system, that's what I always did when I used Windows regularly. It covers you for cases like this when you're not sure if you have infection or a software issue.
If Windows ever pops up anything you didn't expect, it's worth checking the little git hasn't picked something nasty up. Any odd errors and such too - if you can't think of a good reason for the message, always check under the hood.
What browser do you use? There should be a disable popups option in whatever you use, I'd recommend you turn that on and only disable it for trusted sites when they're not working as you expect.
It does seem that ATI were running a promotion with the WoW trial so that could be a legit popup. But if you didn't download directly from ATI themselves, it's possible that it was a spoof and by clicking it you let an infection in. Don't worry, we all do it at least a few times - sometimes just for the thrill

You shouldn't have to disable firewall/AV protection for a download though, unprotecting a Windows system like that can let all sorts in. Again, only if you want a rush.
To protect yourself if you download from your browser, check your anti virus program is setup to automatically scan downloads and new files arriving on your PC. Also set it for scanning all your emails before you can open them and screw your system up

If you have disabled your security stuff to download something, as soon as it's downloaded you want to scan the file(s) with your software.
Fingers crossed you get the all clear on your system
Wenchy