This is not an issue, is an expected behavior of the operating system since you installed the onboard LAN drivers of the desktop board and this means that the onboard device is working properly.
If want to get rid of that message simple connect a LAN cable that has network connection or Internet access or simply hide this option under the Windows* network settings.
I am using DG35EC motherboard, off late i am getting the error message 'Network cable is unplugged' very often,and i lose the connectivity to the internet for 5 sec and again get connected. the Setup is like this. from PC to wireless router, wireless router to ADSL modem and i have a laptop connecting via wireless router.
Troubleshooting done till now.
* power cycled both routers (wirelss, ADSL)
*ping to 184.108.40.206 is fine
Please advise on how to resolve teh issue. thanks is advance