Usually phones with external storage come with one in tact. Was this phone purchased second hand? If so, it's possible that the previous owner did not include one. Your best bet would be to check the sd card slot and see if there's a card in there.
If there is, it might be a bad card. If you try a new card and it still doesn't work, then it may be a hardware issue.
As for the error message, pictures are generally stored to the sd, so the error seems to be normal if there is no sd card in the phone or if there is a problem with the sd card slot and the phone cannot detect it.
