The error you see is not an error. It is a notification and Magento won't recognize if this patch has been installed. You can install it correctly and it will still show up. You can mark it as read or delete it by going to your messages inbox.
Still these patches are rather important. You can check whether it was installed. In app/etc/applied.patches.list are the patches listed which are installed through a bash script. There are also modules which you can use but they do practically the same. I suggest keeping your live shop as clean as possible.
I also suggest updating to magento 1.9.2 which has all the latest patches included. You should be careful with this and test it in a development environment first. If you doubt your knowledge i suggest you consult a professional. Updates and patches may fail and or break your shop and no one wants that.
Note on the answer above!
shoplift.byte.nl only tests for the shoplift bug which was patched with SUPEE-5344. It won't test if your patch - SUPEE-6285 - was correctly installed. I hate not being able to comment...