Microsoft will never call you. Any call that says they are from Microsoft should be immediately considered a scam. Same with Internet interference like this.
This happens to me and many of my clients a lot. The solution is simple:
- Do NOT respond to anything you see on the screen
- Right-click on the task bar and choose Start Task Manager
- Make sure you are on the Applications tab
- Select the item in the list that is your browser instance
- Click End Task
- Confirm if asked
Do NOT shut down your computer using the ON button or power plug, unless there is no other way to stop this. Every time you abruptly and improperly shut down Windows, you risk corrupting the system. Does not happen every time, but is definitely a risk.
As long as you follow this procedure properly, nothing bad will happen in spite of all the threats you see.