This could mean exactly what it says...that your memory card is full and pictures need to be downloaded to your computer. If you've already done that, it may mean that you did not tell the computer to erase the pictures from your card.
If that's the problem you should be able to fix it by formatting the card. You can do that from the menu(little wrench icon) or by pressing and holding down the "delete" button (trash can icon on back of camera) and the "metering" button (to the left of the off/on switch) on the top of the camera. Both buttons are marked with "format" symbols.
If neither of these works, try replacing the card with a new one that is known to be empty and known to work.
The final alternative is to contact Nikon tech support at www.nikon.com
and see what they advise.