Why this window always pop up and can’t close?

You installed some adware or other dreck, or a problematically-coded app, and it’s trying to,do,something it shouldn’t.

Get a complete and current backup, if you don’t already have one.

Select the Show In Finder button, and delete it.

Look for and remove related browser extensions, too.

Here’s a write-up in one of these sorts of tools—the names change fairly quickly—with a more detailed removal process.

https://malwaretips.com/blogs/remove-questsearch/

You may restart the Mac to see if that makes this fake pop-up scam go away.

A newest version macOS with updated internal security, would need you

to disable that, to gain access to the system. Adware, malware, etc only

need a persistent pop-up to convince you to help install badware.

An example of a similar thing and suggested 'cures' that can help:

“…..” Will Damage Your Computer You Should Move It To The Trash - Fix | macreports

https://macreports.com/will-damage-your-computer-you-should-move-it-to-the-trash-fix/

• How to remove after-effects of Adware - Mac Malware Removal Help & Support | malwarebytes

https://forums.malwarebytes.com/topic/236261-how-to-remove-the-after-effects-of-adware

Generally, similar suggestion, appears to have helped older macOS. (download: Malwarebytes/mac)