Malware is software designed to infiltrate or damage a computer system without the owner's informed consent. It is often a group term for anything harmful that runs on a computer, like viruses, spyware, adware, Trojan Horses, and rootkits.
These harmful programs most often attack Windows machines, which can be removed when caught early. By ignoring the situation or opening the program when prompted allows the malware to entrench itself into the system. It's highly recommended to restart your computer in safe mode and run a scan with your virus protection software as well as the program Malwarebytes.