There have been some pages on MySpace that cause a window to popup telling used to install a Microsoft Security Update. And instead of installing a security update it installs some malicious code.
The last one to make the news involves requests coming from a user called "Rita". This is just an arbitrary name that someone has setup, and it won’t be the last.
So if websites like MySpace or Facebook ask you to install programs on your computer you should generally ignore or deny them.