Microsoft Security Alert
It’s a scam.
Click the OK button at the bottom of the popup. You should then see a box Do not allow this spot to create new pages. Check it and then close the window.
I that does not resolve it:
Use the Assignment Manager to exit the browser. Reboot and see if the pop-up goes away.
How to Use the New Assignment Manager in Windows 8 or 10
How to Use the Assignment Manager in Windows 7
If the problem persists, for any browser:
Remove Tech Substantiation Scam pop-up (Call For Substantiation Scam)
PSA: Tech Substantiation Scams Pop-Ups on the Rise
For more information, see this post by GreginMich