This message shows in three situations:
a. You do not have writing permissions for pins.txt file. Set permissions to 755 or 777 –
Please see this: http://codex.wordpress.org/Changing_File_Permissions
b. You modified the theme name and reading from file does not work with such a modification. You must keep theme name as original to use this reading system.
c. You have installed/upgraded the theme wrong- theme inside theme
You ONLY need to do this if you are planing the use the “read from file option” for google maps pins.