Answer
You will receive this warning message if any of the data you add to ArcMap doesn't contain coordinate system information. This message only appears once per ArcMap session, no matter how many times you subsequently add data without a defined coordinate system.
To avoid seeing this message in the future, make sure all your data contains coordinate system information. For topics about defining coordinate systems for various data types, see the ArcGIS Desktop Help Index under 'Coordinate systems.'