I have not heard of this error before. Is there a Continue: Yes/No/Cancel option when this message appears? What happens if you continue?
I can suggest you check the following:
1. Is it the 32-bit version of Excel? - Excel-Dna is not yet supported under the 64-bit version of Excel.
2. Is the VBA support installed - you can check by pressing Alt+F11 and confirming that the VBA IDE appears. It is possible to install Excel without VBA support, in which case no .xll add-ins can be loaded either.
3. Are you testing a recent, released version of Excel-Dna or have you recompiled the .xll from the source? Which version of Excel-Dna, Windows etc. are you using?
4. Google for the message - there is a registry key that will suppress it, but that might not fix the underlying cause.
Please post back if you find out more.