What does iPhone Not Backed Up Mean

I got an iPhone 4 in the middle of April as a Birthday present I really love but I already got 2 messages saying "This iPhone hasn't been backed up. Backups happen when this iPhone is plugged in, locked, and connected to Wi-Fi'' I have no idea what that means and both messaged appear separate times but both on the lock screen option, Could you tell me what it means and if there's anyway to fix it. My iPhone is also an 8GB if that helps any.

Backup: when your files for a certain device are copied and stored elsewhere from its original location like, in this case, on the "cloud" or the computer.

Simply plugging in the phone to the computer or connecting to Wi-Fi does not backup anything. You would have to use itunes to make a backup or check settings to make backups on Wi-Fi, etc. Just connect the iphone into your computer, open itunes, go to the left panel and there should be options to make backups.

I got this message 30 minutes after I performed a backup.

There's nothing in iTunes to backup iPhone