Never seen that message in all my years on the net. I do know that certain viruses, Trojans & worms mimic Windows Error messages with false messages. The idea is to get you to click on the 'X' or whatever, to trigger a user-initiated operation and start screwing things up.

I just went through this getting all manner of stupid popup warmings, looking just like Windows or Internet Explorer Error Messages.

I used Malwarebytes, SpywareGuard, Spybot Search & Destroy and most powerful: Super-Antispyware programs, plus Comodo to purge all the garbage out. All these are free downloads. First time, only use Super-Antispyware through Safe Mode with all other programs turned off, after that you can use it in normal mode with all other programs shut down. Very powerful!

The Zlob Trojan in particular is known for the phony error popups. Other indications can be computer slowing down, home page changes in web browser, other clunky errors while computing, internet traffic when the computer should not be carrying out an operation etc.