Using a single Data Context in multiple threads is likely a bug
Linq to Sql Profiler has detected a data context that is used in a different thread than the one it was opened on.
Linq to Sql data contexts are not thread safe, and attempting to use them in multiple threads requires careful synchronization. It is generally better to consider a data context only useful within the thread that created it.
There are valid scenarios for cross thread data context usage (loading data on a background thread, for example), but usually this alert indicate a problem in serializing access to the data context.
If you are using the data context across multiple threads intentionally and are certain that you are correctly serializing access to it, then you can safely ignore this alert.
You can also disable this alert completely in the options dialog.