Whatever you do don't connect using any link in that email (if it were an email). This sounds like a scan/phishing, which used to actually trick you into giving your information out and then your account will be theirs.
This is a very common trick used for all sorts of accounts, including bank accounts.
If this is a legit warning by myspace they are bunch of idiots as this is a common scamming tactic and they are more likely to frighten users than to reassure.
If you connect to your myspace account in the normal way, not from any link sent or webpage display it is possible to redirect to pages that look like the read thing. If in logging on to your account in the way you normally do there is still that warning, check out the FAQs and any support/help links to see what is said (before doing anything else. There are lots of people that will try to guess user passwords, so passwords have to be strong and not names or words which a dictionary attack will easily find.
See
http://www.google.co.uk/search?q=someone+tried+to+access+my+myspace+account lots of instances here.