In that particular case it says that Windows files were affected ( those in WINDIR\system32\config ). However the explicit determinism of such an error message is, it pops up, because there was severe damage on Windows system files. You won't see such a message, when damage on not so important non-system files occurs. Thatswhy you cannot deduct from this error message to other possible file errors.
Well actually I said files with open read handles (which is not the same as read only files). A read only file, has only read permission, that measn one can open this file only with read handle. Usually programs open any files (regardless of their permission) with a open read handle, unless they really need to write to the file (modify it). Files like mp3s rar-files... are most often opened with read file handle.
However, all the names of the files, and the according mapping of data blocks are stored in a look up table on the drive. (each filename points to a set of datablocks on the drive. Those data blocks make up the file. The mapping information of filename to datablocks is stored in a look up table on the drive). When your PC crashes while the drive is writing something to this look up table, severe damage can be done to the file system. E.g. whole folders can suddenly be corrupt. That means the data blocks of the files are still okay after the crash, but you don't know which data block belongs to which filename, thus your files are lost (scandisk tries to recover such files, usually naming them with generic names in the order it found them e.g. file0001, file0002 ... not particulary useful, if you do not know whats inside the file).
Chill it out with some smooth music
I'ld suggest not to click any such warnings popping up while surfing the net. Just close/abort them (if they are active/top most, you can use ALT+F4 to do this. ALT+F4 is the key command for close).
Didn't you use a special window manager to enhance the looks of Windows? Maybe it is related to this.