Cannot save images for web, get warning "Latin Characters"

I have Photoshop CS operating on Mac OS X 10.3 on a Dual 2.0 G5. Every time I try to save an image for the Web I get the same message. It doesn't matter if it's new or not!
MESSAGE:
Some names of files being saved contain non-Latin characters. These file names will be incompatible with some Web browsers and servers.
I GET THE SAME RESPONSE IN IMAGEREADY CS
What should I do to solve this problem?

Richard,

It could be the use of bullets or other non-alphanumeric symbols...

Neil

Yes, anything not in the English alphabet and numbers can cause problems, not just when present in the name of the files but also anywhere in the path, folders, drive, etc.