It means that it cannot set the cookie for the session because you have already sent output to the client.
You probably have some output before your call to session_start(). Make sure it is the first output, or even the first line.
Hope this helps 😉
P.S. If you can't figure it out just post the offending code
P.P.S This should really be posted in the php forum, not the db forum 🙂