This is a very commonly ask the question and the answer can 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 the internet.
Once the propagation of your name servers changes is done then your message above should disappear by itself.