When I try to access a particular website, a weird message appeared asking me to enter CAPTCHA every time I get into another page:
This IP address appears to be infected with a virus and doing something like sending email spam. Learn more on Wikipedia. You connect to the Internet through an IP address. You are seeing this message because your computer is likely infected with a virus. The best thing to do is to run an anti-virus scan, which will scan your computer for viruses and malware. If a virus or malware is found, anti-virus will clean the intrusion. Once your IP address is seen virus-free for 14 days, this alert will disappear.
I feel that my computer is safe because I use Microsoft Security Essentials along with Malware Bytes anti malware and every scan reported to be normal.