The copy of SMF that you have installed on your site wants to talk to its own database installed on your site, to get the information it needs to run. If you're frequently getting these emails, it means that SMF is often having trouble talking to its database. If this was "always", the first thing to check would be that you have the right database "user" and password and permissions set up, and Settings.php matches them, and the database is up and running (check through phpMyAdmin). If it's "sometimes", that means that your host's database server is having some sort of problems, and you should talk to them. They may not be aware that there are problems, if no one complains.