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This little windows application shows a typical Windows Blue screen of death like they were in the Windows 7 and XP days. It is designed to convince non-tech-savvy users that they got a real bluescreen, which is why closing attempts like Alt + F4 won't work. However, you can access the Windows Security Menu by pressing Ctrl+Alt+Del because this is deeply built into windows can not be easily overwritten.
The blue screen will look something like this: