According to the link in the error message, it is because of a Windows setting that prevents running scripts.
It seems you can get the policies with with
Get-ExecutionPolicy -List
and you can set it using
Set-ExecutionPolicy -ExecutionPolicy Unrestricted
This affects more than just virtualenv, so you may want to be sure you want to do this.
Execution policy is not strictly a security policy since it's easy to get around, but it does help prevent mistakes. You're not less safe against virusses or hackers, but you are less safe against inexperienced users.
P.s. I haven't tried on Windows, but I like pew more than the standard virtualenv wrapper.