layers and masks.

Hi

The History brush will paint in the steps from the History panel. The first column is reserved selecting a history state to paint from and is set to the "open" state by default.

If your History panel is set to paint from the Open state, then you add a layer, then you try to paint on that layer, you will get the message you received. 

https://helpx.adobe.com/photoshop/using/tool-techniques/history-brush-tool.html

Is that what the tutorial is teaching? If not, step back in the tutorial and choose the same brush tool that the presenter is using. As has been said, you most likely want the Brush tool here instead of the History brush.

~ Jane

Yea you need to use the regular paint brush, rather than the history brush.

It pretty much means what it says - you are using the history brush with no states to go back to. as to why and what nobody can tell you without knowing what tutorial you are following and at which step you get stuck. Sometimes trivial stuff like having selected a layer mask instead of the actual layer can cause this, but there's of course millions of other possibilities as well.

Mylenium