If you look in your colour management setup in display properties, there might be a colour profiles called adobeRGB1998, this is the say profile you should use when saving all photoshop files, as the profile has been specifically calibrated to closely resemble the printers ability to make RGB colours from CMYK.
When you load a PSD that has a different one, you get the warning, it also appears when u have a colour profile set on the files. Always use adobe1998.