This error message means you have a .HEAD file but no corresponding .BRIK (or .BRIK.gz) file. This is legal, but only if the BRIK-less .HEAD file contains inside a "warp" (coordinate transformation) that indicates another dataset from which it can get data. If you have a BRIK-less file that also does not have this "warp" information inside, you get this message -- AFNI doesn't know where to get the data for display.