Does that always happen? Or only if you type "w" or "d" into the search box? Those are the default aliases for "wikipedia" and "dictionary," both of which have been using web pages that started showing that message (and which haven't been working very well lately).
If you disable / delete the "w" or "d" Start Gadgets it should go away.
I'm planning an update to Start++ that would overhaul the way this stuff works and get rid of the use of those web pages, but unfortunately I'm just too busy with work to actually get that wrapped up and released =/