This worked for me in Eclipse 3.7.1: Go to the Preferences window, then XML -> XML Files -> Validation. Then in the Validating files section of the preferences panel on the right, choose Ignore in the drop down box for the "No grammar specified" preference. You may need to close the file and then reopen it to make the warning go away.
(I know this question is old but it was the first one I found when searching on the warning, so I'm posting the answer here for other searchers.)