I would like to make a humorous (to me, anyway) fake error message. Getting the fonts right would be cool.
Depends on the error/Windows version, but Segoe UI is the font for the typical dialogue box on Win7/10.
Older versions of Windows will dump you into text mode to display serious errors (the so-called “blue screen of death”). The font used for that depends on your video card, but almost all of them copy IBM’s original 9×16 bitmap font (“VGA9”) from its PS/2 VGA controller. You can download a TrueType version of it as part of the Ultimate Old School PC Font Pack.