Hi and Welcome. My Name is ***** ***** I look forward to assisting you today with your question.
That is a SCAM message. DO NOT do anything that site says.
Press Command, Option and Esc keys and this will bring Force Quit window. Select Safari and click Force Quit. This will close Safari.
Then hold down Shift key on your keyboard and open Safari. Click on Safari menu and select Clear History and Website Data. On the drop down next to Clear, select All History and click Clear History. (If you see Reset Safari instead, click it and Reset Safari)
That will remove it. If you are not using Safari, then let me know what browser are you using and I will send instructions to clear it.
Also, download and scan your Mac with this AntiMalware application as it is possible that Mac is infected with some kind of malware --> https://www.malwarebytes.com/mac/
Please let me know if that didn't work, so we can continue troubleshooting.
Note : This is not my final answer. I strive to provide Excellent service or 5 star service. If you feel you've received anything less or if you are not satisfied or if my solutions didn't work, please don't rate me bad or poor or ok. Instead, please let me know and I will try my best to help you until you are fully satisfied or the issue is resolved.