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Hold Command and R keys while the Mac is starting to start in Recovery HD. If you can start up, open Disk Utility, select Macintosh HD in the sidebar and verify the disk. If it gives you an error, repair your drive. If it can't be repaired, you need a new hard disk.

If you can't start, hold Command, Option (Alt) and R keys

Where are you receiving the message? If I'm not wrong, the message appears when Internet Recovery can't save Recovery onto your hard drive. Can you start in OS X? If not, maybe you need a new hard disk