All IDEs based on IntelliJ platform have a global setting telling whether to treat file systems as case-sensitive. The setting depends on OS: by default, Mac OS X and Windows are case-insensitive, Linux and friends are case-sensitive.
Unfortunately, life is never that simple. The warning you've seen means that on opening a project an IDE has performed a quick check and found you guilty that case-sensitivity of a file system, on which the project is located, doesn't match aforementioned setting.
Well, this won't set your computer on fire, but certain undesired things may happen - missing files, undetected external changes, file cache conflicts and excessive indexing among them.
You can either move your projects, or tell an IDE to change it's mind.
For the latter add the following line to IDE_HOME/bin/idea.properties file:
Use true if your projects are located on case-sensitive FS, false otherwise. Then choose File | Invalidate Caches and restart the IDE.