IMO - sounds like their trying to scare you with a compromised password message
I've seen one that referred you to
Fbi.org - Fbi Resources and Information. - which is not the FBI's website but looks scary.
Send me the failed password in a PM if you want and I will investigate further
Update that URL get's me to a different site -
Credit Cards Cash Rebates
Credit Cards Cash Rebates - redirects to this URL above - NO need to worry it's a dead site and the message will be fake apart from your IP which makes it scarey
