What the heck is a DDE conversation and why would setup want to have one with a desktop?

Sometimes I get this error when testing setup and some of the people who install the program from my CDs also report this error. I click "Ignore" and everything seems to go along fine. The program runs. But it is annoying and to new users unsettling.

I often find myself conversing with the wall but only when I'm really tired with the desktop.