This has happened to me a number of times with Hotmail - apparently it is of huge concern to them that someone might access an internet based email system from a variety of countries. My account was originally set up in the US, which, of course, is where Microsoft's universe begins and ends. I sorted it out whilst overseas (not the US) and then returned to my home country (not the US), whereupon I received the same hysterical security response all over again.
The only threat to my Hotmail account is, apparently, Microsoft itself.