When you check out a file, VSS keeps track of the working folder you checked it out to. In general, you make your modifications in that folder, and then check in the file or undo the check out from the same folder when you are finished. This warning has the following cause and solution:
Your working folder for a project is displayed just above the file pane in VSS Explorer, and can be changed with the Set Working Folder command from the File menu (ctrl+d). The checkout folder of a file is displayed in the file list. (The checkout folder may be different from your working folder assigned to the project, if someone else has the file checked out, for example.) Although you can check a file in from a folder other than the one you checked it out to, make sure that this is what you intend.