It means your computer can not detect the proxy settings.
It's pretty much 100% that you don't need a proxy though or that you require your computer to try and detect them so that option should be disabled.
Of course, as you've not said what you're running or what you are doing when you get the messafe it's a little hard to say exactly how to disable it. but assuming IE then click tools>internet options click on the connections tab, then click on the LAN settings button and make no there are no boxes ticked at all.