Microwave ovens work by generating invisible waves of electromagnetic radiation. This radiation has the specific wavelength needed to heat water, which is found in most foods. While these waves pass through glass and plastic without difficulty, they are reflected by metal surfaces. This is why the inside walls of your microwave are made of metal, so only the food inside the oven is heated.
The door to a microwave also uses a metal layer to contain radiation. The screen within a microwave door is made of perforated metal that allows you to see into the oven as it operates. Though the holes are large enough to see through, they are too small to allow microwave radiation through.
As long as the window screen is intact, and the door closes properly, your microwave oven should be perfectly safe for everyday use. If the screen has become punctured or bent, however, you should stop using the unit until it can be repaired.