Apple will never send a real message like that, nor will they ever ask for any of your passwords. It is against their privacy and security policy/model. It is a scam to get you to buy MacKeeper, or some other sort of malicious activity. Do not install or buy it, it causes far more problems than it fixes. Simply delete the downloaded file and you should be good.
If you run into additional problems, let us know, and we'll help you through it. Good for you for asking first, when it didn't sound right or legitimate.