You have alot of Spyware and Adware on your system. Somehow I think you may even have some fake security software. Get Avast from above, register it, install it, right click on the program's system tray icon, run it, and input the key that was emailed to you upon registration when it asks, and go also get Windows Defender. Your system is really messed up...
I think that alert may be fake as well. Windows Firewall is not in any way able to detect malware like that. Your system tray is also showing multiple fake icons to Security Alerts.