General Meanings:

A warning in the dream wants to pay your attention to your internal state or to external circumstances which require attention. Perhaps the dreamer puts himself into danger and the unconscious sends you a sign.

Psychological Meanings:

To receive a written warning, may indicate that something is bad going to happen for a dreamer. To escape from a locked room and to wander happily in an unknown landscape warns about exhaustion and the need of relaxation.
All the dreams which have any kind of danger for the dreamer send a signal to stop and to think again in order to avoid disaster or danger. This may be a warning because of health or loss of important things in your life and etc.

Spiritual Meanings:

A warning may be an indication of how the dreamer can be intuitive. The dreamer has to trust his intuition and has to use them accordingly.