Is there any way to figure out what the last few things I downloaded on my computer are?

I think I might have gotten a trojan or something when I went to this one website....some annoying pop-up thingy keeps coming up on the bottom right of my screen by my time...and it has a red shield-looking thing with an ';X'; on it....it keeps telling me I need to download something so that my computer can be ';protected'; it's just something bad though....that much I already know.Is there any way to figure out what the last few things I downloaded on my computer are?
if you use firefox, press ctrl + j to see a list of downloaded files. run a virus scan to see if you have any trojans or viruses. i used AVG anti-virus.





http://free.avg.com/Is there any way to figure out what the last few things I downloaded on my computer are?
That is the windows update icon, warning you that it is turned off and it is not a virus.