It means the volume (ie hard drive or partition) you are trying to save to has not been enabled as a drive pro tools is aloud to record to. It may have defaulted to that, or it may be you are trying to work to your computers OS drive (not recommended but will probably be ok for basic usage).
You need to go to 'windows' up the top, open the workspace, find the volume you want to work off and switch the volume to 'R'. Can't remember what letter it will be displaying for you at the moment, but should be fairly easy to see once you've opened the workspace!