Popup error when turning on the number lock

I recently purchased an Alienware AW17R4-7345SLV-PUS laptop. I've only had it for two days. I am getting a persistent pop up EVERY time I turn on the number lock. 

The error says that a "thunderbolt dock;" has been connected. I am not using a dock of any kind. I like this computer, but this is really annoying and I am still within my return window if I can't fix it. Can someone please help? Thanks in advance.