I'm not sure where you are wanting to do the Time Machine backup to, but one option is to connect an external USB drive. There are instructions for that and other options at: http://support.apple.com/kb/HT1427?viewlocale=en_US&locale=en_US
Does it mean there is no way I can back up my data on the Time Machine?
No. It means you don't have a Time Capsule set up. If you actually do have a Time Capsule, set it up by following the instructions linked below: