You could set the single spacing in another way to avoid the blank line, use \setstretch{1} instead of \singlespace:
\documentclass{article}
\usepackage[doublespacing]{setspace}
\usepackage{tikz}
\tikzstyle{PBox}=[rectangle, rounded corners, fill=kopfzeile!10,
anchor=north, text=black, text width=\marginparwidth-2mm]
\begin{document}
\begin{picture}(20,20)
\put(-56,-150){\makebox(0,0)[bl]{\begin{tikzpicture}%
\node[PBox]{\small%
\setstretch{1}%
Wichtiger Hinweis!\\};
\end{tikzpicture}}}
\end{picture}
\end{document}
The reason is, that \singlespacing makes a vertical skip of one line, as you can see in the definition:
\newcommand{\singlespacing}{%
\setstretch {\setspace@singlespace}% normally 1
\vskip \baselineskip % Correction for coming into singlespace
}
Output:

\singlespacingthat is doing adding the blank line. Once you post a complete compilable MWE we can investigate further. – Peter Grill Nov 30 '11 at 0:27