Don’t know if it helps but I’m running AE CS2 on a WinXP Pro system with an open GL card and I’ve seen it too.
I was using DigiEffect DE Fire (which I feel is kind of buggy to begin with, darn fractals) and got the message on shutdown.
Maybe it’s the Open GL? Some web hunting came up pretty short of an answer and Adobe’s site doesn’t have anything about it that I could find.
One answer I found said that it was a program issue, but I figure that won’t stop the eventual round of finger pointing.
I’ve had startup problems with Adobe softs before, more often than not it’s a preference file glitch, does AE have one? If so, trash it (better yet, rename it just in case) and it’ll make a new one.
Good luck!