Nikon N4004/SLR Mode

My +/- sign is blinking alternatively, and according to my manual it says I have to turn my lense to the smallest aperture. Why is it that it's telling me to do that for every mode I'm in? Is the aperture on my lense different than the aperture on top?

If it's like most AF cameras, you need to turn the aperture of any AF lens to F22/16 or whatever the smallest setting is, and then use the command dial to change the aperture.