"Program Settings" folder? Not something I'm familiar with. Maybe it's a Vista thing? Anyway, just do a virus scan of your computer. Open the antivirus program you have installed (never accept pop-up "anti"-virus stuff; it's almost all adware or spyware.), scan. I it finds something, delete it. If not, just delete your cookies and cache (hint: ctrl+shift+del in Firefox) and that should clear out the false warning if that's what it is. If you download a lot of torrents and such, you'll encounter those pretty frequently. Just never trust a pop-up window and you'll probably be fine.
As for moving the folders and download destination, I don't see any reason to move the Program Settings folder, whatever it is. Moving the downloads folder won't do anything bad, except that a few programs might not know where to find some of the downloaded files you had before moving the folder, particularly Bittorrent and such, so you'll have to redirect them to the new location.
