This is a very commonly ask question and the answer can be vary depend on the situation.
First of all, did you buy or own this domain name?
You have to buy a domain name or get a free domain name from a domain name provider or DNS provider before you can use that domain name to host your site with a hosting provider.
For example: GoDaddy.com, NameCheap.com, etc
If you own a domain name then you would go to your DNS provider and make the name servers change there to point to your hosting provider name servers
For example: ns1.hostingprovider.com, ns2.hostingprovider.com, etc
After you made that change, it will take will take 24-48 hours or longer for the change to propagate across internet.
Once the propagation of your name servers change is done then your message above should disappear by itself.