I have only seen this when using the web browser. I believe it is limited to 4 open windows. To see your open windows in the browser, tap MENU then tap windows. You can switch, close and open new windows from there.
Suiris is correct; the message only relates to open web browser windows (believe the max is 8). Just do as he told you and close the windows and you will be fine. Also, make sure in the settings for the browser you do not have it set to open new windows.