There are quite a lot of possible things that are going on. Can you let us know
1. What system you have (e.g. Windows 7, Mac OS Mavericks)?
2. What version of Acrobat or Adobe Reader you have?
3. WHO gets the message about a password (you or the receiver, or both)?
4. What is the full text of the message, if you get it?
5. If the receiver gets it, what security do you set on the file?