I just installed 10.6 over 10.5, and when I restarted the final time, a window came up right after login asking for me to locate system events.app.
I called Apple Support, and their advice was just to hit Cancel. The window doesn't come back on future reboots, but this does seem to happen once for each account on the machine.
Just wanted to share that it seems to be safe to cancel it.
[robg adds: I haven't seen this on any of the four Macs I've upgraded here; not sure what might trigger the event.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20090828102610398