Whenever I use emacs/w32, I get the following message.
What's annoying is that I click the 'Never show it again', all the times, but it doesn't work.

Is there any way not to show the welcome message?
In the .emacs file, add the following line:
(setq inhibit-splash-screen t)
where this file is located in Windows depends on several things. I recommend you look into this answer/question on stackoverflow: https://stackoverflow.com/questions/189490/where-can-i-find-my-emacs-file-for-emacs-running-on-windows/189509#189509