The exact message would help, in a search.

Windows itself (is a virus ;-)) & has plenty of messages telling you to "not turn your computer off".

A message may in fact be malicious, or may only be there to scare you into doing something else (which could end up being malicious).

An ad blocker might help, https://ublockorigin.com/.


(If I got a message that said to not turn the computer off, I'd think for a moment trying to figure if I'd actually been infected with something, & then I'd be apt to do just that - turn it off.)