Access 2002/2003 has 'Macro Security' and installs in what is called 'Sandbox Mode' with additional securities against potentially harmful code. First you are directed to upgrade to the Jet database engine and then you get the generic 'unsafe expressions' message.
Mike from Echovue is right that you can disable the message by lowering the security setting, but if you are opening databases from other people/companies and you are not sure whether these are secure databases that may be your best option.
If you are opening your own databases as well, you can create a 'self-certification' digital signature so the messages are not opened when you open your own databases but maintain security when opening others. Chapter 20 in "Access 2003 VBA" by wrox covers the options in great detail.
Also there is an article in the Microsoft Knowledge Base (Q294698) that gives more information about the sandbox mode.
I hope this helps,