I think everyone has received such messages. They insist to download and install a trojan cleaning software. Instead of this, they will install other trojans, spyware and other malware on your computer.
So, NEVER click no OK neither Cancel buttons. Better fire this window from Task Manager /ALT+CTRL+DEL./
The fact you received that message is a sign you already have some kind of malicious software.
To clean it in early stage download MalwareBytes program /it is FREE/, update and make full scan.
Hope this will fix your problem.