As the error message says, it means that you need to set up the anatomy of the subject correctly first.
If you have the subject MRI, either process the anatomy with en external program (eg. FreeSurfer) and import the output, or import the MRI and run the segmentation within Brainstorm (CAT or BrainSuite).
If you don't have the subject MRI: configure the subject to use the default anatomy from the protocol.
If you are not familiar with these concepts, I recommend you start by following the introduction tutorials using the example dataset provided, before processing your own data. If you are processing EEG, read also the tutorial EEG/Epilepsy.