I'm assuming that you are reading this message in the form of a Pop-up ad. Just close the dialog box and move on. Chances are, that there's nothing wrong with your computer. You can check your available memory by going to My Computer, right click on Drive C, and then go to properties. This will show you exactly how much memory you have used, and how much you have left.
thats not memory,thats available storage space on the hdd.
how many apps have you running ? hit control/alt/delete and check.you may have too many live applications running all sharing available memory.
out of interest,how much ram have you got ?
does it say memory or virtual memory?
Vitual memory is what's referred to when your pc dumps data to a part of the hard drive called a page file. If you are loading a big file from your hard drive and the pc is having a hard time accessing the page file then you will get an error message. Accessing data in a page file is a lot slower than accesing data stored in RAM. If you have a slow/hevily fragmented hard drive then you will notice this message quite a bit. You can manually set the size of your page file. The more RAM you have the less the pc will use the slower page file thus increasing the speed of your pc.
I think which kind of memory it is probably not worth worrying about, I'd not expect Windows or any other major operating system to use the word "dangerously". Does this only pop up when you are connected to the internet? (Bearing in mind with broadband you are always connected)