That's a 100 % fake warning - a so-called Tech Support scam attempt.
"If your screen suddenly fills with scary pop-ups you should immediately close your browser (try pressing ALT+F4 if you can't do it with your mouse). If you can’t close your browser try restarting your computer."
"Remember that real error messages from Microsoft, or other big tech companies, never include phone numbers for you to call them."
> Protect yourself from online scams and attacks - Microsoft Support
Suggest also having a look at How to spot a tech support scam - Microsoft Support
To prevent even seeing such fake alerts, use a good content/ad-blocker such as free uBlock Origin.