Howdy and welcome to the board.
Sometimes someone will delete the macro but not the module which contains it. Open this file and enable macros. While in Excel, hit ALT + F11 [key]. This brings up the VBE window. On the left you should see the Project Explorer (like Windows Explorer); if not hit CTRL + R. Then find the file that is open, and open the tree view, and open the Module folder. You will probably see one module listed. Right-click on it, and choose "Remove module". A dialog will appear that asks whether you want to export it, click "No". Then hit ALT + F11 [key] to go back to Excel. Now save the document. Close it, and then open it. It should no longer give the warning. If it does, then post back.