Check Brake Linings message
 

Hi, today I got the "Check Brake Linings" message together with the red brake warning light come on.
The manual is pretty confusing regrading instructions when this message pops up. What I would like to know if if I have to take it immediately to a dealer (ie is it an emergency?) or can I continue driving during the weekend?
I noticed that the extended guarantee does not cover brake pads etc, so I am guessing that I will have to pay for the trouble. Does anyone have an estimate of what it will cost?
Thanks for your help.