Reason: This warning was generated because I referenced multiple C# projects in the C++/CLI project, and they all have "copy local" set to true.
Solution: Change reference to the C# projects, set all "copy local ..." properties to false.
A hotfix is available, which does not seem to be in SP1 as of 7/7/2008. So this fix probably will never be publicly available. This proves again C++/CLI is not on the top of TODO list for Visual Studio team.
Microsoft KB 922271: http://support.microsoft.com/kb/922271