Are you working from scratch on a project or did you start with one of the AppGameKit projects? It sounds like it from the element that it is complaining about.
The following may be repetitive about what you know/have done....
In XCode, if you click on the very top item in the project tree (reached by clicking on the folder image in the tool bar in the display area on the left), you get the inf/build settings display in the center area (assuming a sort of default workspace layout).
Click on 'Build Settings' and open the 'Code Signing' Segment and then open 'Code Signing Entity'. The settings I have that appear to work are to select as follows:
Code Signing Identity = Don't Code Sign
=> Debug/Release = Don't Code Sign
=> Any SDK (selected from list) = select the iPhone Developer with your name that should be under 'IOS Team Provisioning Profile'
I'm still trying to remember the steps I did with Xcode to get the provisioning profiles created.
The Xcode help has a whole big section about code signing. Select 'Documentation and API Reference' under Help. The page is under:
iOS 5.1 Library => Tools & Languages => iOS Code Signing Setup, Process, and Troubleshooting
Hopefully that has better information than I can remember on my own.
Cheers,
Ancient Lady