They have a crawler looking around for any computer that they can try to interrupt. During the warning, they tell you not to close the window as they will have to shut down your computer to prevent damage to their network. Don't fall for it. These people are nothing but con artist plying their trade very effectivly. Close the windows and if they won't close, shut your computer down and bring it back up from a full restart.
They want you to think that they are part of Windows support group and they are not in any fashiion.They don't tell you about how much their services cost until they have cleaned up your drives and files. Tell them you are not inerested and immediatley go to your programs and delete anything that has any connection to them.