Sadly this is true for many, if not most users: http://arstechnica.com/security/2008/09/study-confirms-users...
It's a few years old, but it seems unlikely that things have changed much since it was done:
"Some researchers have tested how college students respond to fake dialog boxes in browser popup windows and found that the students are so anxious to get the dialog out of the way, they click right through obvious warning signs"