Go to Edit -> Color Settings. You changed something in there. To me, it looks like you most likely changed the RGB Working Space. You'll probably want either sRGB, Adobe RGB, or maybe ProPhoto RGB since I know Lightroom uses that.
That dialog box that pops up is essentially saying that the photo your opening is using a different color profile than your working RGB profile. It's very important to have this dialog come up if color is important to you at all. Converting (or worse, assigning) a color profile to a photo that was edited using a different profile can sometimes yield inaccurate colors in your photo.