Bad, but cool. You need to see what process is driving this pop-up. Use process explorer to see what's running this by using the X from the toolbar by clicking the X, holding it, and then letting go over the pop-up. It will then show you what process is driving it. You can then remove it.

You can also run autoruns to see what runs when your computer starts.

https://learn.microsoft.com/en-us/sysinternals/downloads/autoruns https://learn.microsoft.com/en-us/sysinternals/downloads/process-explorer

It looks like you are getting Web Push Notifications which can sometimes be fake malware alerts or fake alerts by some antivirus client like McAfee from sites you interacted with.

https://support.mozilla.org/en-US/kb/push-notifications-firefox