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To make the message disappear while turning on the phone, I advise you to firstly perform a soft reset: type *#7780# on your phone's keypad. The default lock code is 12345.
If the message still appears, please back up your data using Nokia Suite. Once your data is fully backed up, perform a hard reset: type *#7370# on the keypad.
Let us know how you get on and feel free to post any other questions you may have.