File History is a Windows 10 backup feature that constantly saves backup copies of user data (typically every hour) to a a nominated drive; the File History drive. It's controlled via Settings > Update & Security > Backup, in the Advanced Settings there you can configure the drive (the File History drive) on which these backups are stored. The error message is telling you that either that drive is disconnected, there are problems with the drive, or even that File History has been turned off.
