It seems like you tried to remove the distribution database on a server which has no such database. This doesn't have to be an issue because in a typical replication scenario only one of the servers has this database. So it's possible that you run a cleanup script on the wrong instance, which is not really a problem.
If you think that there's something else wrong please give more details about your setup and which steps you have taken so far.
[font="Verdana"]Markus Bohse[/font]