This is not Microsoft's fault... Or at least not their doing. You've been hit by a well known and long running scam program. It started life as AntivirusXP something like 4-5 years ago, and it has been updated and had a few slight name changes to try and avoid detection. It's NOT a program put out by Microsoft, though to the credit of the people who came up with it, it is pretty slick looking and you're far from the only person it has fooled.
This is the danger of using IE. All it takes is one wrong click and the floodgates burst open to this kind of crap.
You can email Microsoft about this all you want, it won't do any good, because this isn't a Microsoft program. So, your best bet would be to download something like Malwarebytes Antimalware to try and get rid of this program. Then go back to using Firefox, and if you run into a site that won't work with anything but IE, find another site. If Malwarebytes doesn't get rid of it, then hit the security forum here, and odds are someone has the removal instructions memorized.
I surfing the web like Moondoggy on steroids and one of my sites has problems with firefox. I download Opera from the generous folks at CNET and basically it's a good browser but with this site no bueno. I then bite the bullet and download IE 8. Just that quick my computer is in mortal danger unless I buy the Windows security upgrade. I go back to CNET download AVG virus run a scan. Finds a couple Trojans and fixes them. Run it again nothing. In the meantime about every two or three minutes I'm getting these dire warnings from XP security and can't use IE 8 at all. I've been hustled by some clever tactics but this is flat out blackmail. I will take this computer and throw it in the river before I spend one penny to these chumps. I sent microsoft an e-mail letting them know they have chosen a Mac for my next computer. Got an e-mail back say I've won in the 2010 microsoft awards program. I've got an award for microsoft but I doubt they will enjoy receiving it. Thanks, I feel much better now.