A week ago, I sold my old my old iPhone 3G to my brother. His carrier is Base Belgium and does not officially support iPhone. Anytime he got a phone call he had a "Call Forwarding Active" notification. It is mandatory to dismiss the message prior answering the call. This behavior is defined by the default carrier configuration. It is used when you carrier is not officially supported by Apple. You can fix this behavior with a little patience. And, no, you don't need to jailbreak your phone to do this.

Annoying message