This is a typical SCAM.
Never ever let anyone access your computer in a way where they made the contact with you first.
In this particular case, Microsoft is explicit in that they never call people around. Microsoft says: “Neither Microsoft nor our partners make unsolicited phone calls (also known as cold calls) about your computer security or software fixes.” More at Microsoft’s Cyber Trust Blog:
If you have already fallen to be a victim of such a scam, Microsoft goes on with what should be your next steps:
Here is another of our articles that covers similar “scam” scenario: