This comes from the php.ini file on the server. If you open it up in nano and read the top few lines, you’ll see this message about using a local file.
This is a great idea, but the problem is that if you can make changes to the php.ini file it would effect every other site on your server. Obviously this is no good, as there would be a great conflict of interest between users. It also opens up huge security risks.
However, there is a way around this. I’m not sure if you know or not, but you can easly install your own copy of PHP4 or PHP5 in your webspace. There’s instructions in the wiki on how to do this, and with a basic knowledge of SSH you shouldn’t have any difficulties with it. Once you have installed or compiled you own copy of php, you can edit the php.ini file how ever you’d like.