Every day, as it indexes the internet, Yandex checks tens of millions of sites for the presence of malicious software. It records the addresses of infected or fraudulent sites in a special database, which it updates several times a day. The database currently includes hundreds of thousands of links. If you try to go to one of these links, Protect blocks the site and displays a warning.
If a saved copy of the page, which you can browse safely, is available, you will be able to view it instead.