Can you tell us which ad you clicked, so we can check its target URL? You should be able to see the history of ads displayed within brave://rewards on your machine; click the 7-Day Ads History link at the bottom-right of the Ads component.
From a cursory bit of reading, it sounds like you may have encountered a malicious script which directs you to a page suggesting you have a virus or some other problem with your device, and requests that you call “Microsoft” or another company to resolve the issue.
The folks over at f-secure have more information on this class of Trojan. If we can determine which link you clicked, we should be able to identify which page (belonging to an advertiser) may be infected. These types of scripts are commonly encountered when a domain or URL is typed incorrectly. Either way, I hope we can help shed some light on this quickly, and see to it that everything is okay.