this message will come up a couple ways. most common is if the HDD isnt working, and the system isnt seeing an OS to boot from. there is obviously what airplane geek said to do, by making sure the HD that holds the OS is listed as primary. if it is, check the connections for the HD. perhaps disconnect, and reconnect it. also, listen to see if you can hear the HD spooling up, or touch it to see if you can feel the faint vibration of it spinning to ensure that it even works.
if not, try another power connection for it. if the HD doesnt seem to be working mechanically, or doesnt list in bios, that would be the problem.