Managing personal Outlook.com account settings, security, and privacy
The sender's Email address on that Email does not look correct, usually that type of Email from Microsoft is sent from ******@accountprotection.microsoft.com and even if it looked correct, the senders address can be spoofed, the best option is not to click anything in that Email and delete it.
Then, go to your Microsoft account on this link to check the recent activity on your account, do you notice any recent login attempts form other locations or countries you do not recognize.