Leejune, in fact this message means the following:
1/ To do something with certain pixels, and not with others, you have to select them.
2/ Or, to look at it in another way: you can protect the pixels that you don't want to change with a mask (like protecting the wincow pane when you want to paint the wood of the window).
These two are the same, but talk about other things. A mask is more easy to remember because it is visible (like the tape on the window pane). Photoshop can remember a mask when you store it in a channel, and this channel is called an "alpha-channel". Just like you have a channel for each basic colour, for example a Red, Green and Blue channel.
A very basic mask would consist of only a masked area, and an area that you can work on, in other words: like a simple black and white image.
But in Photoshop you can do more: you can make that certain masked pixels are partly influenced by your action. Therefore, instead of only black and white, you have 126 different shades of grey at your disposal. Your mask can go from black (protected, you can't influence the pixels that are masked) to white (your action will change the pixels completely) with another 124 greys in between. The darker greys will protect more, the lighter ones will be more influenced by your action.
Now exactly in the center between black and white is a hue called "medium grey". Pixels that correspond with this hue in the mask are 50% influenced, and 50% protected.
To go back to where we started from: a mask and a selection are the same, but seen from an opposite point of view.
The problem is that masks are like greyscale images, but selections are visible with the help of the marching ants that surround it.
Right. This is easy when iwe talk about black and white, but where should the ants march when there is a soft transition of greyscales? Ahh, to solve this problem, the designers of Photoshop agreed to place the marching ants around an area that is at least covered for 50%. (that corresponds with medium grey in the mask).
And when no pixels that are at least covered for 50% are selected, you get this message that you got.
I, myself, did not understand all this in the beginning, but suddenly it went ahaa, and since then, I get on much better in PS.