When a file is shared among multiple projects, a file in one project is linked to all other projects that share it. Therefore, when you check out the file from one project, it is also checked out from all the projects that share it.
This warning has the following cause and solution:
This is a valid action. VSS is simply alerting you in case this is not what you intend.
To proceed, click Yes.
To cancel the operation, click No.
Note You can check in a file or undo a check out from any project that shares a file.