Many Dell's have a recovery partition that is accessed (for XP Systems) with CTRL/F11 at initial boot. If your system has the recovery partition you can use that to restore the PC to the factory condition (and no discs are needed).
Exactly where in the process do you get this notice? is it after you have installed and if it is, it sounds like you entered an incorrect Product Key (one possibility).
If you are in the US, HERE is the Dell on-line form to request replacement discs.
Dimension E510 with D925 CPU and Vista Home Premium 32 bit
Home Built PC with Q6600 CPU, 8GB RAM, HD4850 Video, HTO Striker 7.1 Audio Card - Windows 7 64 bit Professional
Sonar 8.5.1 ( Producer) DAW Software/Focusrite Saffire Pro 40 Recording Interface and Frontier Tranzport wireless controller.