Even if you have proceeded with the installation, you still need to enter your password for it to complete.
The most important moment, however, occurs when the Installer asks for your password. If you were to quit the installer application at that point, and delete the downloaded installation package, you would have nothing to worry about.
In the video we posted here, you can see that the Mac OS X Installer opens on its own, but it then waits for you to initiate the actual installation process. This malware does not install itself, though, unless you enter a password. After you pay your “fine” by credit card, the programs tell you that your Mac is clean, even though it has cleaned out nothing but a part of your bank account. They then offer to clean your Mac, for a fee. These “scareware” programs try to trick you into installing their software, which then tells you that your Mac is infected with malware, even if this is not the case. We have written a lot about the MacDefender / MacSecurity / MacProtector fake antivirus in the past couple of weeks. Malware Mac Security Tip: When You Should Enter Your Password in Mac OS X