Background:
When you install any OS the install program writes a small piece of code to the first sector (the boot sector) of the drive that is set as the boot drive in the bios. From then on, whenever the computer starts up, that small piece of code is loaded into memory and runs. That code tell the computer where the OS (actually the boot loader) is located, that boot loader then starts the OS (which can be on any drive).
The confusion comes in because people think that the drive with the Windows folder on it is the boot drive - it isn't necessarily so, as you can put the Windows folder on any partition/any drive during the install and the boot loader will point to it.
If you remove the drive that was the boot drive (ie the drive with the boot sector on it) you get the message you're seeing. As others have said, there are numerous way to fix that.