Thanks for all your help! I shut my computer down and rebooted it like you suggested. The alert went away and Microsoft Security Essential is making a full scan of my computer.
These pop ups are so intimidating when you see them. They make it look so close to windows but something isn't quite right about them. I am not to sure sometimes how to tell if they are legit and it makes me very leery to trust them. I know I did the right thing and want to say THANKS for your help! :D :D