I think that it means that you have something newly installed off of the App World. I had that the other day and then I checked in the App World and it went away once I check the My World section. Weird.
Posted from my CrackBerry at wapforums.crackberry.com
Yup, it's a program update through App World. I've heard about problems where you update the program but the notification doesn't go away. If this happens, stick to the tried and true battery pull.