No. No, no no, 100x no.
This is first of all illegal and secondly completely unethical.
You need to have a legitimate Windows copy and licence for the software and tools you use at work, full stop. Your employer is putting him/herself and you at serious risk for lawsuits.
You should absolutely not ignore the warning and press your employer for licensed software. If not, please look to @David Segonds' answer about reporting offenders. The BSA site has a wealth of information about penalties, fines and rules that use can use to drive home your point when talking to it with your boss.
There is a chance they may not understand how big of a problem it is. It would also be worthwhile to make sure these conversations are documented somehow...preferably via email (and backed up locally) so should your employer tell you to to continue this illegal activity, you have some proof that you tried to fix the situation when you report it. I'm not a lawyer, so I don't know if this would get you out of trouble completely, but covering your own behind is never wasted time when it comes to a situation where you could be thrown under the bus.