started to create a macro...
Open the VB editor, by pressing Alt and F11
In the window that opens, look in the "Project Explorer" box that is normally on the left hand side. (If you can't see it choose "View>Project Explorer").
See if there is a "Modules" folder for the Worksheet concerned. If so, and you are SURE that you dont want/need any macros in this file, expand the folder and delete any contents by right clicking and choosing "Remove" When there are no modukles left the "folder" should disappear.
This should mean that you don't get the message.
I'd recommend making a copy of the file first in case you discover that there is something in there that you need, and hadn't realised. Some automatic formating for example?