Bill,
When using File > Import/Export > Send To > Compressed (zipped) Folder, if you have a title block that is not part of the project or if a drawing is outside of the project, those drawings are put in a folder called Bound Drawings in the zip file. That message will be displayed notifying you that drawings outside of the actual project came along for the ride.
It's just a method to let you know that files external to the project are being used and where they are located (Bound Drawings folder within the project folder) once extracted. Hope this helps.