Sounds like you moved/renamed/deleted a folder from outside of Lightroom.
The first rule is never add, rename, delete, move any File or Folder from outside of Lightroom. Lightroom has no way to keep track of things that are moved by the user via the operating system.
If you are getting this message by clicking on a folder, you will need to repoint Lightroom to the missing folder by right clicking on the folder and asking Lightroom to find the missing folder and then navigating to the folder's new location/name.
