airport extreme flashing light error: double nat?

I followed the instructions to find out why the light is flashing (despite my internet working fine and network setup being ultra quick). Airport Utility tells me this:

"Base Station Status: Double NAT

This base station has a private IP address on its Ethernet WAN port. You should probably switch your base station to be in bridge mode."

I can tell Airport Utility to ignore the error, but I'd like to know exactly what the error is, and whether it is of concern, and how to fix it.

Thanks for your help.

EDIT: In case it helps, I've got the AE base station connected to a DSL modem through an ethernet and my mbp and windows pc connect to it wirelessly.

I am having this same problem, and when I set it to bridge, I can only get internet on one computer on my network at a time.