Some scammers just don't go to enough trouble.
Take this situation: Visiting a random web page, I find it redirected to a "Warning! You may have spyware installed!" page. Which then proceeds to fake scanning my system, with a long list of Windows DLLs flashing by, and a message saying that I have problems, including three worms. As a finishing touch, at the top of the page it tells me that I need to install ActiveX controls, and should click the icon at the top of the screen... And so on.
News flash: I run Linux. I don't have windows worms on my system, they're not binary compatible. For those of you who don't know what that means - it's like trying to run a petrol car on diesel. I don't have dlls at all. Or ActiveX controls. And because I am not using Internet Explorer (a fact which website servers can and frequently do determine using UserAgent identification), I don't have little buttons popping up to helpfully inform me that if I turned on ActiveX controls, it would be easier for utter bastards to hijack my computer and turn it into a zombie spam relay, sorry, enjoy an interactive web experience!
There is a famous quote that the most damaging thing that Microsoft has done is to lower people's expectations of the computer industry. It also seems that the market dominance of Windows and Internet Explorer (and Outlook), quite apart from making life easier for virus and worm writers by offering standardised security holes, offers a nice standardised way of conning the gullible, as well.
If you are on Windows, I recommend AdAware combined with AVG antivirus. If you are on a Mac or any Linux or other *nix machine, you don't need to worry about that stuff. Yet. But you do still need to worry about other security holes, and if updates are made regularly available, particularly for your web browser - do so.