Indeed a scam, if you allow it to go any further the Indian sounding guy makes you install team viewer or similar software so he can access the innards of your computer, then installing various virus or malware.

Microsoft themselves will tell you there is no actual way that any outside observer can tell if your computer is sending messages, has a virus, is part of a botnet, etc.
Also they insist that they will never ring up any Windows user unless that is by a prearranged transaction with them.