Never call or click any links that offer to fix bogus computer malware. It's a pure scam, and they likely now have your phone number.
This bogus alert was likely Javascript running from a scam website. The reason it keeps coming back is that when you start Safari, it's reloading the old bogus website. Try holding down the Shift key while starting Safari. Do not load your previous websites. Enter another link such as RV.NET.
If it's still loading the bogus site, then force exit by pressing Command+Option+ESC and select Safari. Clearing out your old cache and cookies should get rid of the issue once and for all.