Look into setting your succession type (on the law screen) to the one which gives all of your stuff to your first born male son. it is the most practical type, default one shares your titles between your children. you have to meet certain requirements, so cursor over the question mark to see what you need to do in order to change it
Bang! --- Its all brand new frogger here. ~ Tak Fuji the mighty XBL gamertag: Count Curtis
that one is simple, that mean the land is hold by someone not meant to be holding it. Castle are to be lead by counts/normal courtiers (which will turn to be counts after you give the title), barons in case of secondary castle, Town are meant to be lead by mayors, and churches by bishop.
If your king lead a town/church, you get a wrong type of holding message, and you also get a -75% penalty from stuffs.
Usually when you just conquered new lands you get this message, simply right click on the land and click the make new vassal button to create new mayors/bishops to lead your town/churches.
If your province is lead by mayors/bishops, they will also get the same penalty in their main base AND will have -30 opinion of you (wrong type of government penalty). This mean that lord mayors/prince-bishops (in case of county), and doges/prince-archbishop (in case of duchy), will get penalties. --- Snake? Snaaaaaake!