These things can happen if you download a cracked game for some shady site. It usually doesn't happen if you download a paid game from the official publisher or a well-known shop as amazon.com. A well-known fact, and your own choice.
What to do:
- If you want to install it, you answer yes.
- if you don't want to install it, you answer no.
Couldn't be simpler, could it?
If you want to remove that virus and your regular antivirus program can't do it, try the 'run from bootable cd''-version of another program
If that doesn't help and you still have that virus, go back to factory conditions (how exactly to do that depends on what version of Windows you have and what specific things the maker made for that purpose).