If the goal is to turn off RG emulation (thereby clearing the backend message and providing more robust security for your site), you can simply edit global.php and change the RG emulation value..
http://forum.joomla.org/index.php/topic,93640.0.html(see RG Emulation section -- which is different from php's own register_globals variable).
However, this does not address the larger question of whether or not php's register_global flag is on or off on your site. You can review Joomla's php info (backend... System - > System Info - > PHP Info) and check the variables value.
Emulation is left on by default in order to prevent unexpected failures in poorly written 3rd party modules. However, the recommended best practice is to turn both php's register_globals variable AND Joomla's RG emulation off, thereby eliminating any register_globals-based exploits
If register_globals is off, turning off Joomla's RG emulation will harden your site against some forms of exploits. However, turning off RG emulation won't help if register_globals is on. To change register_globals, your best bet would be to add a php directive in your .htaccess file. (See the link above for information on that as well). Trying to create individual php.ini is, IMHO, more of a last-resort option, as it's very sensitive to how the host has deployed php and can lead to confusion in terms of managing default values.