You may already be in CMS. You can only have one copy of CMS open on the same workstation at any time.
For example, you may already be in your current year CMS or Fund Accounting, and double clicked your archive icon. You will need to exit out of the current year prior to going into your archive.
Or, you may have just double-double clicked the icon. Click OK at the error message. It should still let you into the system.