Unusual Account activity message

When I open my 'Windows Live email account" I keep getting a popup message "We have noticed some unusual activity in your account.Your action is needed to make sure no one else is using your account.

To continue click OK.'

If I click OK, I am taken to a web page that looks like a Microsoft page asking me to confirm my account name and password, this site looks a bit suspicious to me, and therefore I am reluctant to sign in, incase somehow someone is after my password.

Is this a proper message from Microsoft, or should I be careful and how do I remove it?

Thanks for your help.