To exit the warning on your toolbar right click on Microsoft Edge and Close window. You may be prompted to Leave the page which you should. This clears it from running. Microsoft need to review their ad links better to stop this kind of scam.
A couple of clients recently have received this Windows defender security centre alert pop up page from clicking on a advertising link in the Microsoft edge home page. Testing this I found a linking going to “https://walrus-app-gnbta.ondigitalocean.app/” The warning page below came up with a voice message: “Important security message, your has been locked up. Your IP address was used without your knowledge or consent to visit websites contains identity theft virus. To unlock the computer please call support immediately. Please do not attempt to shut down or restart your computer. Doing that may lead to data loss or identity theft. The computer lock is aimed to stop illegal activity. Please call our support immediately.” Do not call the number, or do anything that would allow remote access to your system. If you do they will attempt to show misleading messages on your computer and get you to go into your bank account to steal funds.