It means exactly what is says! Your Open ID implementation (lightopenid) wants to communicate securely with an Open ID server over HTTPS - HTTPS is an optional feature in PHP/Curl and your web host has not enabled this feature. Your options are to ask your hosting provider to enable this feature or to find an alternative which doesn't use Curl. For the latter option, you'll probably find that alternatives also don't have the HTTPS option enabled.
Finally, you may be able to tell lightopenid to not use HTTPS, thus sidestepping this problem, however this doesn't seem like a very robust solution to me, use this only on dev sites, never with real users' accounts.