It IS a scam. The "warning" that is coming up is the scam itself trying to frighten you into parting with your money. DONT be tempted, these people are CRIMINALS.
It is NOT a virus but something called Spyware or Malware (or even Scareware).
You need to run a malware detection program to get rid of it.
Try Malwarebytes. Download it, install it, UPDATE it, then run it with full scan.
http://www.malwarebytes.org/
You probably have NOT got a virus, but it is best to install an anti virus product (if you have not got one) just to check.
I like AVAST which has a free version. See here (bottom left)
http://www.avast.com/...-software-home-office