Solved Windows Secure Kit 2012

I went to visit a forum that was completely safe, but then my browser closed and a message popped up saying "Windows Secure Kit 2012 will now scan your computer" blah blah blah. Knowing from previous experience, I instantly knew that this was some bogus anti-virus program. So I disconnected from my internet connection, closed the window and as soon as the browser window that opened on closing the message appeared, I shut it down before anything even appeared on it.

So I ran a quick scan with MSE (Microsoft Security Essentials) and it seems I'm ok, but am I safe? I disconnected from the internet before clicking anything on the message, because I knew that if I clicked without doing so it would download the virus to my PC.

Congrats
You did the right thing. In addition never, never, but never click on the upper right X to close. Those jerks writing those virus, etc, know, that is what most will do. Even disconnecting from the net, the virus may be there already. Use task manager to close out the window.
That being said, the most that you can do at this point is to use several quality anti virus/malware scans. Try malwarebytes, my favorite and eset online (no download required) In addition scan with your anti virus and an online free one, like House Call my Favorite
HouseCall - Free Online Virus Scan - Trend Micro USA
If all are negative, wait a week, scan again, to see if the virus that you may have caught was new and no definition was included with your tests. If negative at that point just enjoy.
For the future, you may want to use your favorite anti virus for real time protection (I like Microsoft Security Essentials), malwarebytes for a weekly scan and then download Winpatrol it is a pseudo anti virus and informs when when anything is downloaded, its up to you to decided if wanted or not. It have many other great beneifits, too.

Well, I did press X to close down the window, after I had disconnected the internet.

It's ok now. MSE did a full scan at midnight last night and my computer is safe.