Proof that Windows Firewall is capable of blocking something...impressive!

(If you were given a phone number, or a link to a product, your message is fake)
Grab a screenshot (printscreen) of the warning/advisory. Best to be skeptical of such advisories, as many illicit websites/programs use fake advisories to prompt purchase of 'the cure'...
On the chance that it might be legit...
If you install Glasswire, it normally clearly states what is trying to connect...in or out, and allows easy blocking of such connections.