You should only see this message if it is trying to open a file that contains 1 or more macros...
If it is doing it when you just open Word, to start a new document, then it means there is/are macros in the "normal" template.
If this is the case, then, if you dont want these macros, the best option is probably to find and rename "normal.dot" to "normal.old" (this will enable you to get it back if it transpires that you did want the macros it contains.)
Restarting Word will recreate a new "normal" template.
Does this help?