This may help to understand what's going wrong:
After the BIOS or EFI (whichever your computer uses) has finished booting your computer, it hands over control of your computer to the operating system. In order to do that, it has to look for an operating system.
The first place it looks for an operating system is on the first partition of the first hard drive. Normally, the first hard drive is the one connected to the first SATA connector on the motherboard. If there isn't an operating system on the first partition of the first hard drive, the BIOS/EFI checks the next partition of the first hard drive, if there is a next partition, and so on.
If the BIOS/EFI can't find an operating system on the first hard drive, it will check the second hard drive - the one connected to the second SATA connector on the motherboard - and so on, until it finds an operating system.
Therefore, to ensure success Windows should be installed on the first partition of the first hard drive. If that isn't where you installed Windows, you're likely to run into the problem you have encountered.
The message you are seeing is asking you to disconnect hard drives that do not have an operating system - disconnect them from their data cable or remove them from the computer - so that the BIOS/EFI will find the hard drive that has Windows installed. But you don't have to go that far.
If you installed Windows on the second or a subsequent hard drive, you can enter the BIOS or EFI and change the order of the drives it checks for an operating system. So, for example, you can tell the BIOS/EFI to look first in the second hard drive for an operating system. That's easier than physically moving drives around inside your computer, although that would be the best course of action because it maintains the way computers are typically setup at the factory.
To further illustrate I have included an image of the Disk Management utility that I found on the internet. The 'first' hard drive is called Disk 0. If you have a newer computer with EFI, the first partition on Disk 0 is actually the EFI itself and the next partition right after is where Windows is ideally installed. That's what we mean by the 'C: drive.'