CSP is Content Security Policy, these are HTTP headers that can for example restrict JavaScript execution in the browser. The warning points out a non-critical problem with the policy.
To look at the headers you could use curl -I
on your server. The "Content-Security-Policy", "X-Content-Security-Policy" and "X-WebKit-CSP" fields are relevant.
Since you don't know about CSP I assume you are not administrating the web server, you might want to talk to the person in charge.