In some instances, you may not need to explicitly define a set.  Instead, you can have LINGO infer the dimensions of the set from the number data points assigned to an attribute of the set in the model's Data section.  This is referred to as a dynamic set definition.  It's not always possible for LINGO to accurately deduce a set's dimension from a data statement, in which case, you will receive this error message.  A valid solution is to explicitly define the set in question in the model's Sets section.