How do I get the fitness app to work in the run mode?

I just got an iPod nano a couple of days ago. When I go on the fitness app and tap run, it sends me to that window where you can choose "basic," "time," "distance," or "calorie." So I select one of those and specify the distance or time or calorie, and then it sends me to pick what music I want to listen to. I pick a playlist or something, but then it sends me to this red screes that says "not linked to sensor." What does this mean? Am I doing something wrong? How can I fix it? I'm a bit clueless on this stuff, so please help! Thanks! 🙂