Another possibility is that there is a dialog box open but it is located Off screen.
First try finding the dialog by minimizing other open applications individually. If that doesn't show it, try clicking on OK in the message, then using using the Press and hold <ALT> press and release <SPACEBAR> press <M> keyboard shortcut to access the move window feature. Use your arrow keys or mouse to try and move the dialog onscreen.
If Move does not work, try <ALT><SPACEBAR><X> to Maximize the open dialog on screen.
Thank you for this information. In my own case the file's password protected as a 2007 word document and now when I try to access the file it indicates that a dialog box is open which I still haven't been able to find.... I use Word 2016 now.