Computer virus

I was browsing the web on incognito setting on a school computer. I clicked on a link, there was some scrolling, then I got a message that I had clicked on an insecure link on an illegal website and my computer was at risk of viruses. I panicked and closed the window immediately. What should I do know? Is there still a risk of a virus since I closed the page and it was incognito? Any help would be much appreciated, thx

If the message vanished when you closed the window then the message was being generated by the window. In other words the web site you were on was faking that message in the hope of encouraging you to download some "virus removal" software which (you've guess it) would be the virus / malware itself.

Also, genuine antivirus / malware-detection software would never use the phrase "an illegal website", which is a definite give-away that this wasn't genuine.

By the way, incognito is irrelevant here. All that does is stop the browser storing certain information which it would normally gather during browsing. It doesn't stop your school, their internet provider, or the web site tracking what you're doing, or prevent you downloading something dodgy.