The article is dedicated to using the methodology of building a decision support system under threats and risks. This method has been developed by modifying the methods of targeted evaluation of options and is used for constructing a scheme of the decision support system. Decision support systems help to make correct and effective solution to shortage of time, incompleteness, uncertainty and unreliability of information, and taking into account the risks. When we are making decisions taking into account the risks, it is necessary to solve the following tasks: determination of quantitative characteristics of risk; determination of quantitative indicators for the effectiveness of decisions in the presence of risks; distribution of resources between means of countering threats, and means that are aimed at improving information security. The known methods for solving the first problem provide for the identification of risks (qualitative analysis), as well as the assessment of the probabilities and the extent of possible damage (quantitative analysis). However, at the same time, the task of assessing the effectiveness of decisions taking into account risks is not solved and remains at the discretion of the expert. The suggesting method of decision support under threats and risks has been developed by modifying the methods of targeted evaluation of options. The relative efficiency in supporting measures to develop measures has been calculated as a function of time given on a time interval. The main idea of the proposed approach to the analysis of the impact of threats and risks in decision-making is that events that cause threats or risks are considered as a part of the decision support system. Therefore, such models of threats or risks are included in the hierarchy of goals, their links with other system's parts and goals are established. The main functional modules that ensure the continuous and efficient operation of the decision support system are the following subsystems: subsystem for analysing problems, risks and threats; subsystem for the formation of goals and criteria; decision-making subsystem; subsystem of formation of the decisive rule and analysis of alternatives. Structural schemes of functioning are constructed for each subsystem. The given block diagram provides a full-fledged decision-making process.