The US has been looking for evidence that al-Qaeda and Saddam Hussein are connected in some way for a while.
But the tape might make some nervous. It came out on the day US and UK authorities warned people to be alert - but not to panic - about possible attacks.
Increased security over attack threats
Americans are especially worried about the risk of a poison or "dirty bomb" attack. A "dirty bomb" combines a simple explosive with any radioactive material.
Some still aren't sure the tape is from Bin Laden though.
Many are suspicious that it came out just as the US are trying to persuade countries in Europe to back them over a war with Iraq.
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