Can I get a virus from trying to download an mp3 file from a website?

In trying to download a mp3 file from a website using Firefox, I received an audio message that I had been infected with a virus and that I shouldn't do any online shopping or banking until I called a number which wasn't visible. I force quit my computer, waited a while, and turned it back on. The message continued. I put firefox into Trash and emptied Trash. I've been using Safari now and haven"t had the message since. How do I know if my personal info has been compromised or if I do have a virus?