This is not actually an active penalty. It is more a shot across the bows to try and discourage webmasters who are buying spammy links from doing so.
Google is saying large numbers of links that are possibly one or more of the following have been identified:
This will fire the following warning:
We don’t want to put any trust in links that are unnatural or artificial, and we recommend removing any unnatural links to your site. However, we do realize that some links may be outside of your control. As a result, for this specific incident we are taking very targeted action to reduce trust in the unnatural links.
Obviously if this is you or your SEO company that is carrying out the activity get it stopped and try to get as many of the links removed as possible to ensure that this does not turn into a full "unnatural inbound links" penalty. This is when Google makes the connection between you and the links and you are actually removed from the search results.
If you have nothing to do with these spammy links then you do not need to do anything.
The clue is in the wording "for this specific incident we are taking very targeted action to reduce trust in the unnatural links". In other words those links will no longer count for anything.
The reason for this approach is that Google understands there are people out there building poor quality links for their competitor's websites in an attempt to get them banned (a process known as negative SEO) and Google doesn't want to encourage this.
Whatever the reason for the links coming into existance you may have benefited from them for a while and now you have lost that benefit but you do not need to spend any time tracking down and removing the links.
Doing so, especially if it is a third party that is creating the links, will only do exactly what your competitor wants: If they can't get you banned at least they can get you running around trying to remove links rather than promoting your business.
I'm Tim Hill, a Search Engine Optimisation and Online Marketing specialist. I created this site to help others understand that SEO is not a mysterious black art!.
If your a newbie try the Getting Started in SEO page, otherwise feel free to dig around and learn more.