I think that message is an indication that there is no security (i.e. WEP (not good anyways), WPA or WPA2 key) set up on the wireless network, which is to say it is wide open.
A knowledgeable user could potentially access your computer directly (without needing to capture data you are sending) depending on what, if any, software security you have setup on your machine.
They could also potentially capture the data sent to/from your machine. It would likely be encrypted but this does not mean it would be totally secure.
It's also possible that the network you are connecting to is set up to lure in trusting users and steal their information. These attacks are increasingly common and wifi access spreads, more devices can use it, and users still have a tendency to assume networks are secure.
If you are on a public, unsecured network, it's best not to access or send any information you don't want broadcast. Check your bank account when you are home :)