On Windows systems, this can happen if the server is running the DNS service and the user leaves the DNS server fields empty in a network adapter configuration; the message basically means "you have not configured this NIC to use any DNS server, this system is a DNS server, thus you'd probably want to use it".
Depending on your network configuration, the message can be safely ignored, unless you actually want the system to use its own DNS services for name resolution.
Case in point: one time I had to manage a server which was acting both as a perimeter firewall (using ForeFront TMG) for the company network and as the main DNS server for the company's public DNS domain. The server had two NICs, and it was a domain member; its internal NIC was configured to use two AD domain controllers as DNS servers, while the external NIC didn't have any DNS Server configured, because it only needed a public IP address. The configuration was perfectly legit, but the OS kept pestering me to configure 127.0.0.1 as the DNS server for the external NIC, because it saw there was no DNS server configured there, and the computer was running the DNS service. Needless to say, this would have been completely wrong, but there was no way to have Windows just shut up about it.