MacBook Pro shows critical virus alert message

Macbook is like having a virus after I insert a pendrive and pull the file.

The right top corner keeps popping put a notification stating "Virus Detected" / "Click to scan Virus".

I try once to click the pop out notification, then end up ut jump in to a link in safari and is quite weird the page, so i quit. Then, next day my Facebook almost get hack by hacker.

Thus, would like to seek for help to solve the problem and want to ask is that possible to avoid format my Macbook. Thank you.

Attached with the image showing the pop out notification.

[Re-Titled by Moderator]