It just means any script is allowed to create and modify files under this folder without setting a special permission. Since many hacks are related to modify/delete files, this could be dangerous.
If you have 'register_globals' set to OFF, you may skip this warning and install miniBB usual way, I think. Because all hacks are leading from this vulnerable setting.
But if you want to be completely safe, try to contact your provider and ask them about this problem. It's related to some kind of special configuration on the server; OR maybe it's a Windows-based server, where this error naturally should always appear and you don't need to pay attention to it then.