I think this article explains the phenomenon pretty well and also gives some great tips to avoid infection: Rogue Software Lies – Hang Onto Your Money!

Viruses posing as antivirus programs are becoming more common. In my freelance IT work, I am encountering more and more people duped by these scams. It used to be that any reasonably aware person could spot this stuff at a distance, but fraudsters are combining more convincing “Virus Alerts” with some good-old-fashioned Social Engineering — and ensnaring more victims all the time.

Be careful out there, people!

(Via makeuseof.com.)