This message is informing you that Blender was not able to locate a compatible version of Python on your system.
Go here:
http://python.org/download/
and install the python version that the message shows. In this case, Python 2.5. Sometimes, there may be a more recent sub-version available (e.g. Python 2.5.1). If so, it should be fine to download the most recent version. Blender will only work with a specific version of python so, if you install the wrong one, no problem. You'll simply get the same message and need to pick a different version.
The install is very simple. Just use all of the defaults and there shouldn't be any problems.
EDIT (suggested by Eel):
I'm running Vista, and when I after I installed the correct python (2.5.2) with the default settings, the message in the command window still appeared ... it turns out that you have to set an environment variable for Blender to find Python if the installer did not, which was the case for me.
You have to go to Start, right click on My Computer then properties, go to advanced system settings. In the new box, go to Environment variables and add a new one under system variables called PYTHONHOME and the variable should be the path where your python folder is located (default it is C:\Python25).
... I believe this is only a problem for Vista though.
