This article
http://www.makeuseof.com/tag/spotters-guide-fake-virus-malware-warnings/ mentioned 3 most common fake alert types:Website Advertisements, Browser Popups and System Tray Notifications. The alert you got seems to belong to the System Tray Notifications. Anyway, just ignore them and scan your system with anti-malware software to make sure your PC is safe.
If you don't have any security tools installed yet, the following free anti-malware programs are recommended:
Download and scan with AdwCleaner. Have it found something and deleted, then reboot =>
https://www.malwarebytes.com/adwcleaner/
Download & Scan with Junkware Removal Tool. Have it found something and
deleted, then restart =>
https://www.malwarebytes.com/junkwareremovaltool/
Download & Scan with MalwareBytes Anti-Malware Premium 14-Day Free Trial. Property MBAM quarantine found everything, then restart =>
https://www.malwarebytes.com/premium/
Follow-up by doing a scan with malware removal tool (free virus scanner). Remove / delete everything that found itself, then reboot =>
http://www.okpckit.com/SpyHunter_Download.php