That came from a unix/windows humor list going around on USENET a while ago. Here are some other good examples:
% make fire
Make: Don't know how to make fire. Stop.
% why not?
% gotta light?
% "How would you rate Bush's incompetence?
% [Where is Jimmy Hoffa?
% [Where is my brain?
% ^How did the sex change^ operation go?
% If I had a ( for every $ Congress spent, what would I have?
Too many ('s.
% man: why did you get a divorce?
man:: Too many arguments.
$ PATH=pretending! /usr/ucb/which sense
no sense in pretending!
% ar r God
ar: creating God
% scan for <<"Arnold Schwarzenegger"^J^D
"Arnold Schwarzenegger": << terminator not found
% rm Quayle-brains
rm: Quayle-brains nonexistent
lost: not found
% mkdir yellow_pages; cat > yellow_pages
yellow_pages: Is a directory
% ar x "my love life"
ar: my love life does not exist
% ar x "matey, the treasure"
ar: matey, the tresure does not exist
I suggest some people try testing those commands out in shell to see if they work. Results will very depending on the OS.