It was probably complaining about starting up in "selective mode." That's true, it is becaue you selected something in msconfig's startup list not to start up. Windows wants to make sure you know you did that because that's the way Windows is.
If you get that warning next time you boot up, there's a box to check in one corner of that window to tell it not to show you that message again. Check it an it won't bother you again.