Are you using LFS Strobe everytime you use LFS (the program that makes the car's lights flash and toot the horn :razz
? If its not properly configures the shift/caps/numlock/scroll-lock (depending on your configured key) starts to act up... Does this only come up when you use LFS?
The sticky-keys prompt comes up if you've pressed the shift key 5 times in succession. To turn that prompt coming up, go to control panel > Ease of access centre > make the keyboard easier to use > setup sticky keys (this is assuming you're using Vista) and check Filter keys settings while you're there. This'll stop the sticky key prompt coming up, but not address what's causing the shift key to act erratically in the first place...
Btw, the the sticky key prompt comes up only if the shift key is pressed repeatedly, not if its held down - so its not like if something is stuck under the shift-key... and its odd that your message don't have any capitalized letters (if the shift was being stuck repeatedly your text should aPPeAr LikE tHiS
)
Did you spill any drinks on it or anything?