This error message means that either you (or your PDA) chose "No" when asked whether to install software from an unknown publisher.
If you did not explicitly tap on the "No" option, another program or message window may have popped up on your device's screen while the Unsigned prompt was displayed. Windows Mobile will automatically cancel an installation in that case, to prevent software from using malicious means to choose "Yes" to install itself.
To resolve the error, simply soft-reset your Windows Mobile PDA or phone and try the installation again.
But I didn't receive any prompt about Unknown Publisher or Unsigned Software!
This error message may also mean that your PDA requires software to be digitally signed in order to be installed. For the vast majority of Windows Mobile devices sold directly to consumers, software will not need to be digitally signed. A few devices - most notably the Sprint Nextel i930 and i920 Windows Mobile Smartphones - do require digitally signed software and may not be able to run our (currently unsigned) applications.
If you are trying to install our software on a Windows Mobile device provided by your employer, it is also possible that your employer has chosen to 'lock down' your Windows Mobile device to prevent unauthorized software installation. You may need to contact your IT department to see if this is the case.