I was asked about this over the phone a few days ago and I couldn't help but ask "where did you see this?"
See, if you're a Windows user you might have seen this come up on your computer somewhere. If this is the case, I would not click on it. In fact, I highly encourage you to download Avast, install it, update it and turn off your internet to that computer while you run a scan. Avast is free to use and very powerful. Of course, you can download other free Anti-virus software programs if you choose, I'm only suggesting Avast as a long-term user.
These pop-up's could be from Trojans or various other types of infections and you should not "click here" unless it's from Microsoft, although that's not easy to determine. The first thing you should ask yourself is "what have I downloaded lately"? Have you downloaded any questionable items, including Zip files or programs? Some programs have built-in Spyware or Adware that cause issues like these.
Have you visited any odd sites lately, or clicked on any links that you knew you probably shouldn't have after you arrived?
Also, if you're seeing this error on a website, do not click it. You will sometimes come across ads like this on a website that are either just ads or malicious code. Try not taking chances that it's just an ad.
Here's some tips to stay more 'secure' online.
1. Always use a browser such as Google Chrome, Mozilla Firefox or Windows Internet Explorer, and always make sure you update those browsers and any plugin's you may have installed. If you do install plugins, make sure they come from the corporate site(s), not a 3rd party site that isn't trusted. Google Chrome actually has warnings when you enter a website they believe to be malicious, which is very helpful.
2. Always keep your Operating System up to date, regardless of which OS you're using. Most update warnings contain critical updates that will keep your computer safer, closing holes that malicious users will attempt to use to cause harm.
3. Always use an Antivirus program like Emsisoft, BitDefender, Avast, Kapersky, Webroot or any other well known program that will help keep viruses, worms, etc. to a minimum.
4. Use a firewall if you can. Some antivirus software comes with built-in firewall's, so this can be a plus.
While these tips aren't bulletproof, they will definitely help keep your computer much safer than they would be without them.
If you feel that you should probably not click on something -- don't. Trust your antivirus (keep it up to date!) and let it do what it's built to do.
I hope this helps, but I'm always willing to get feedback and hear other suggestions as well! :)