|Under normal circumstances, you would need to select the "Switch User" option where the shut down and restart options are in the Start menu. If you have another user logged on, and then choose to switch, the original user remains logged in and another session is opened. This can lead to the warning that you're seeing.|
The simple solution is to switch users back, log out the other session, and then log out your own session.
If that's not the case, you should definitely run a malware scan to make sure that your security hasn't been compromised by a remote desktop login - somebody else trying to gain control over your PC basically.