When Windows detects a USB "storage" device connected to the computer, the default action is to open the "AutoPlay" window, like this:
As I wrote earlier, if I clicked "Open device to view files," I used to be able to actually see photos stored on the iPhone (all the files on the iPhone were never visible to Windows) and manually copy them to my computer. If I do that now, however, I just see an empty Windows Explorer window -- no files.
At some time in the past, you probably selected "Import pictures and videos using Windows" and checked the box to "Always do this for this device." Thus, when your iPhone is detected, the AutoPlay window doesn't open and the "import" operation starts ... but doesn't find any files to import and thus shows you the message.
You have (at least) two options:
1. Do nothing. You'll get the warning about "nothing to import" each time your phone is connected, but perhaps with some future iOS update, the files will become visible again and the import will work again.
2. Stop the message from appearing.
- Click Start, type autoplay into the Search box, and press Enter.
- Scroll to the bottom of the window and you should see a list of the devices that Windows has recognized at some point, including your current iPhone.
- Use the drop-down list next to your iPhone to select "Take no action" and then click the Save button.
If you take this option, you may want to check after an iOS update to see if files are visible in your iPhone when it is connected. Press the Windows Logo key together with the E key to open Windows Explorer to "Computer." You should see your iPhone under "Portable Devices" and you can double-click to open it just like any other storage device.