When saving, get annoying message

I just got a new machine with a new version of Excel
(Excel 2002). I am in the habit of saving often, and with
this new version, whenever I save, I get a message saying,

"The file may have been changed by another user since you
last saved it. In that case, what do you want to do?"

Then I have the option to save or overwrite the file.

I know it is possible, but in this case, it is not likely
that someone else is editing the file at the same time I
am. And, I noticed that this happens only when I have at
least a second spreadsheet file open. If I only have the
one spreadsheet file open, then I do not get the message.

Is there any way to keep this message from appearing? I
have looked around, but can find nowhere any option to
turn this function off.