It's not detecting your CD Burner. For some reason, It thinks a Burner isn’t connected.
But, If you don’t have a CD Burner, Connect one, then restart your computer, reload Windows Media Player & The message should go away.
Also, Make sure you have the latest software drivers by visiting the manufacturer of your burner. Even when a Burner is connected, Sometimes having old software drivers can cause a message like that
Lastly, Ensure that the version of Windows your using is fully up to date.