- Click the red X --> Popups can masquerade as a browser dialog window
The Ctrl+Alt+Del link above also has some commentary about what it does in other Operating Systems.
You should kill the process immediately by using CTRL+ALT+DEL and viewing the process list in the task manager.
Prevention is better than curing. You should consider a pop up blocker. Instead of closing it, you prevent it from being opened in the first place. If you then actually need the popup you can simply allow it by clicking "allow popup".
This will prevent annoying or malicious popups to be executed. If you are in a situation where you are panicking and really don't know what to do, then killing the process is your best bet.
Unfortunately, there is no simple way to identify which of the dozens of processes shown in Windows Task Manager corresponds to the pop-up and should be killed. In fact, in the Chrome browser I just had a pop-up which did not add to the 50 processes as an extra process. The only way to safely close the popup window is then to close the browser entirely by Ctrl-Alt-Del then clicking the Applications tab of Windows Task Manager. This loses all the tabs open - a real nuisance when you've been researching a complex topic for an hour. These tabs can then be laboriously recovered from History in Chrome, but the effort tends to discourage one from using this approach instead of taking a chance on just clicking the red X.