It used to mean that there was a character in the filename that would be illegal on your OS. trap_jaw gave LW a fix for that a few versions ago, but there's something new causing it recently. I've seen a lot of those this last week, and can't find a pattern. For now, I just reselect the file in the search pane, click on download until it starts to connect, then select those downloads with the message and click on kill (or clear inactive), and cmd-click to repeat search. It happens in LW 2.9.8 and 2.9.8.2.

The only glimmer of a pattern I can sense is that if LW tries to connect to one of the alternates found in a repeat search (I don't know how to tell which ones), this will trigger the message. The other thing that happens is that the list of incompletes in the Library pane goes blank, and can take up to quite a few clicks to refresh.

Have you been able to see a pattern? I'm on OS 10.2.5.