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I recently saw an web-advertisement that was designed well enough that I was confused for a few seconds about its nature.

The ad is designed to look like a dialog box that might come from the Windows XP operating system itself, rather from the web, and uses language that Microsoft frequently uses like "critical errors". There were only three subtle signs I could use to know that this wasn't an message from Microsoft.
First of all, notice that in the lower left corner, the word "advertisement" appears in a faint grey. This is probably something the advertisers used to protect themselves legally, but obviously, it was designed to be difficult to notice.
Secondly, notice how in the top left corner of most Windows XP applications, there's an icon representing the currently running program. When Microsoft makes these wizard-style windows appear, there typically is no icon, but when this pop up appeared, the FireFox icon was present, because the advertisement was being displayed using my Firefox browser.
Finally, when I move my mouse cursor over the window, it turned into the pointing hand cursor. That cursor typically is used to represent that your mouse is over a web link. If this were a Microsoft wizard-style window, then the cursor would probably have been a plain old arrow.