Well, the obvious answer is to use the correct password for whatever the username is...
Does this happen when you're trying to sign on to Windows, or does it mysteriously pop up on its own after you've already signed on and are doing something unrelated?
If it's the latter, you can open up Task Manager (Ctrl+Shift+Esc) and click the applications tab to see a list of open tasks. Right-click on the task whose name matches the one in the title bar of the message and select "Go to Process" to find out which process is issuing the message. That might help explain what's going on.