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If you click on the box that says "Suspicious Website," you are given a more detailed explanation of what the problem could be, a help link to get more information, and another link to report the suspected phisher to Microsoft. Microsoft takes spamming and phishing very seriously and has deep legal pockets that it uses very liberally to shut down spammers and phishers.
After clicking on the link to report the suspected phishing site, you're taken to a Web form on Microsoft's site so that you can either report the suspected phisher, or claim ownership of the suspected domain to let Microsoft know that you're not a phisher.
Once you decide to submit the previous Web form, you must offer proof that your not some automated machine submitting the information. These are designed to prove that a human is interacting with the Web site since the validation code is not in machine readable form.