I don't know of any anti-virus program that can stop a rogue from installing itself if you click anywhere on the rogue's pop-up window. Clicking anywhere on a rogue's pop-up, even on the "No" button or on the red [X] in the upper right corner, just gives the rogue access to your system. The first thing most rogues do after that is disable any security software you have installed.
You have to stop the rogue's process either via Task Manager, or by just pulling the plug on the computer.
There may be a pop-up blocker out there that can stop rogue pop-ups from appearing on your system in the first place, but I have not found one as yet. I must admit that I have not looked all that hard for one, either.
Be aware, too, that you can encounter rogues most anywhere. The last one that tried to nail me came from an infected news story page on the Fox News website. Only that page attempted to infect my system. I accessed it a few times to confirm the infection. The others I read that day were clean.