Essentially it means you don't have the index you are trying to reference. For example:
df = pd.DataFrame()
df['this']=np.nan
df['my']=np.nan
df['data']=np.nan
df['data'][0]=5 #I haven't yet assigned how long df[data] should be!
print(df)
will give me the error you are referring to, because I haven't told Pandas how long my dataframe is. Whereas if I do the exact same code but I DO assign an index length, I don't get an error:
df = pd.DataFrame(index=[0,1,2,3,4])
df['this']=np.nan
df['is']=np.nan
df['my']=np.nan
df['data']=np.nan
df['data'][0]=5 #since I've properly labelled my index, I don't run into this problem!
print(df)
Hope that answers your question!