I think beachrat has it right. Basically, if you click the little triangle in the top left of the histogram, Lightroom shows you any area that is so dark you've lost all detail in it. It shows you by making the area bright blue. By clicking the triangle again, the blue goes away. The triangle in the top right of the histogram does the same thing for highlights that are too bright, but it turns them red.
If you want to fix the problem instead of just turning off the alert, you can 1) Slide the Exposure slider to the right (if the entire picture is too dark,) 2) Slide the Shadows slider to the right (if only the shadows are too dark,) or 3) Slide the Black slider to the right (if the dark areas are black.) Try them all out, see which works best. A combination might also work.
You could also try using Curves, Adjustment Brush, or Gradients, but those are more difficult to explain in a post. Try looking up YouTube tutorials that explain which situations are best for those.