According to research from North Carolina State University, even sophisticated Internet users can't tell the difference between real and fake warnings about Internet security.
These fake warnings, which might appear in pop-up windows as you surf the Web, are designed to trick you into downloading malicious software. They’re known as rogue security software, and they can appear under many different fake product names.
According to Microsoft's latest Microsoft Security Intelligence Report, rogue security software sightings are increasing as social engineering becomes a more popular vehicle for fraud.
To learn more and to see an example or one of these warnings, see Beware of rogue security software.
"even sophisticated Internet users can't tell the difference between real and fake warnings about Internet security."
Depends on what you call sophisticated. It's pretty obvious to me if the popup is a lie. It generally is, especially if it's delivering an executable. Hoaxes are a bit harder, but I usually just let them smooth themselves out, knowing that my antivirus stays updated, and maybe find out after the warnings have passed if it's true or not.