It's a fake security alert. In the below removal guide, first scroll down to where you see:

"The rogue also utilizes aggressive techniques to make it so that you cannot remove it. When you attempt to launch a program, if it is considered to be a security risk, the rogue will terminate it and instead display a false security alert stating that the program is infected. The text of this alert is: Internet Explorer is infected with Trojan-BNK.Win32.Keylogger.gen"

Use the guide to remove it. Follow ALL the steps. Bypass any ads you see, and start where it says, "Automated Removal Instructions for XP Anti-Virus 2011, Vista Total Security 2011, and Win 7 Home Security using Malwarebytes' Anti-Malware:"

Remove XP Anti-Spyware 2011, Vista Security 2011, and Win 7 Internet Security 2011 (Uninstall Guide)

If you run into any problems along the way, please post back and ask.

Best of luck..