It's not really an error. It's a warning. Certificates are for your protection to ensure the machine you are connecting to is the machine that has been certified, otherwise if you get spoofed you may connect to a machine that isn't a real ESX. Most companies this isn't a problem since you have a firewall.
but you can get an optional certificate, otherwise you can just ignore it. You can get a public one like Verisign, of course they cost money...
