I get annoyed with the 'think of the (metaphorical) children' school of safety. If you want to do something to improve people's safety awareness - make actual browser dialogs and chrome distinctive and unforgable (maybe a special window chrome or something).

Half the time now, I just close tabs because I'm not sure that lil 'x'(close) on the ad that popped up isn't part some malware. When its too easy to duplicate 'official' looking stuff, people become numb to seeing it all the time.