There are two scenarios in which this could happen.
1) This message will display on every startup, by design, if a SolidWorks file is not opened/created after choosing Yes or No. After accepting or declining the message open a file then close SolidWorks. The should no longer display on startup.
2) If the message does still display, then that's an indication that the CommandManager is not active. To resolve this: startup SolidWorks, choose Yes or No to the prompt, open/create a file, show the CommandManager, close SolidWorks, startup SolidWorks and hide the CommandManager to restore your previous UI settings.
Thanks Tim, #2 worked.