Turn off your wifi connection. Open up safari and it should say "you are not connected to the internet" after that you should be able to close all the windows without a new pop up !!! Hope this works for you guys !
I had a popup appear when i was on Safari telling me there might be a phishing website ahead and that the security of my computer was compromised. At the same time, there was an audio file playing which said the same thing. The website of the popup was www.macyreport, and i was encouraged to phone 647-360-4456 which i did not do.
I had the same issue. I tried looking into it and it appears that the number belongs to a scammer. I did not call them and I would advise that others do the same.