Bit of background about how these dodgy "programs" (your pop up) work.
When you go to a web site EVERYTHING you see on the screen is downloaded to your computer, every bit of text, every image, every bit of video and so on.
These files that are downloaded from the internet are held in a folder called "Temporary Internet Files" (or similar name)
What some scammers do is "hide" small programs on web sites so when it is downloading the text and images and video it also downloads the dodgy program.
This dodgy program then runs and displays the message that you got, demanding money or they will delete all your files (or similar message)
So as has been said, they are NOT viruses so will not be found by an anti virus program.
However they are Malicious Software (often called Malware) so to find them you need to run a program that hunts for Malware (such as Malwarebytes).
There is another free program that is worth installing called CCleaner.
Whenever I get any of this malware I run CCleaner (free version) and this deletes all your temporary files and along with it any dodgy programs stored on your PC in a temporary folder.
It does mean you need to logon to various web sites again, but at least it means the malware will probably have been deleted.
CCleaner web site
https://www.ccleaner.com/