The normal.dot was modified. This happens if you modify any global setting (paragraph, styles, etc). But also if something else modifies any global setting, like scripts/macros, add ins, and of course, viruses.
More info here: http://office.microsoft.com/en-us/word-help/word-prompts-me-to-save-changes-to-the-normal-dot-template-HA001151452.aspx
I had this problema a while ago, unfortunatelly I'm not sure how I fixed, but I think you should check if the normal.dot is writable, you can delete the normal.dot and a new one should be created. Also, disable any add-in, open a blank document and save it.
My Word 2007 is in spanish, so I´m translating, but you can check the startup folders in:
Options ->Advanced -> and scroll to the end of this options, you'll find a File Location button. Click there and you'll see the default folders.