Patrick,

In later versions of Excel, you can elect to not let the user even select the locked cells
when you protect the sheet.  Ergo, no message.  This is true in 2002 and 2003, and not true
of 97.  DOn't remember about 2000.  Might that work for your requirement?

If you protect the worksheet in code, you can toggle this setting:

Sub Auto_Open()
   With Worksheets("Sheet99999")
       .Unprotect Password:="hi"
       .EnableSelection = xlUnlockedCells
       .Protect Password:="hi", DrawingObjects:=True, _
            Contents:=True, Scenarios:=True
   End With
End Sub

In fact, in xl2k and below, this setting isn't remembered when you close the
workbook and reopened.  Setting it in code was the only way to do this.