wierd message

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http://www.simulacra.se/base/smartftp.wtf.jpg

Anybody know what the hell that is, pressing the "Do not show this dialog again" does not work.

It's a BIT annoying to see that, and if I accidentally press something else, ie typing while that window pops up wanting my attention smartftp goes bye bye.

as the dialog box says, window's internet connection sharing feature is the cause. if you don't know what it is you probably don't need it and thus should disable it, see:
http://www.annoyances.org/exec/show/ics

Well, I AM sharing my internet connection through a secondary network card, I use it for my laptop.
The thing is, why cant I say no once and not have any more windows popping up?

I don't know why. But as this doesn't seem to be a bug / feature related to SmartFTP but rather an ICS problem, you may want to ask in a Microsoft newsgoup instead or Google for other people who have this problem with ICS (and probably different applications).

Try yo go to tools, settings, connection and change the port ip mode from auto to local or manual and no more SmartFTP trying to change ICS.