Ah yes...the new transparency features of Illustrator 9. The documentation is very uninformative about it, and lots of printers hate it because it messes with their RIPs... but if you're putting your files together in much the same way as you've always done, I think you can safely ignore that error message, even if it's being printed for real. I say this because:
a: It's unlikely you've used transparency by accident.
b: I've worked in a print bureau for years and have never had trouble with Illustrator files that don't contain transparancy (well, no major trouble anyway)
and c: Lots of people hate v.9, so you've plenty of company!
If you want to be REALLY safe, save a copy of your files as version 8 and ignore the warning. You should see an option in the dialog box to preserve appearance. Check that, close the file, reopen it to make sure it still looks ok, and then send that file off to your printers. Version 8 is safe as houses... Best of luck!