Microsoft phone scam

I just received a phone call from a man saying he was from Microsoft Windows support and that my computer was generating a lot of error messages. He spoke English (I didn't have to ask him to)and sounded like he was from India or a similar country.
I was suspicious and asked how I could tell if he was legitimate. He said he has a license # that came with my computer and he'd show me how to find it. He also was going to show me the error messages.

He wanted me to hold down the Windows key and press R. I have no idea what that does, but I wouldn't do it. After a few minutes of my doubting questions he said "you can go to hell and bye" and hung up.

I suspect this was a scam. Where do I report this?