This is a scam. There are many different variations on the basic theme that have been going on for years so I'll leave you to search for those on your own (there are some funny stories of things people have done), but essentially they all end up with the "service" doing something to disable your computer if you ultimately allow them access to your computer then refuse to pay up. In your case, the first dead give away should have been that it was "Windows" calling, not Microsoft. Windows is a product sold by Microsoft, not a company in and of itself.
If you're in the US, report it to the FTC, especially if you're on the Do Not Call list. In England I believe Ofcom would be who you report it to, but maybe someone on the other side of the pond can verify that. At the very least, hang up on these clowns and don't give them any information.
Can anyone tell me if 'Windows' phone to say they can help with problems on your computer? They say there are many dangerous downloads on my computer and they can help me rectify this if I go on to computer they will talk me through the process. I am afraid to give them access to my computer.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic