You see this message because BurnEngine is not properly installed.
This problem is usually caused when BurnEngine module is not installed. Please, go to admin panel, enter Extensions -> Modules, find 'BurnEngine CP' and click 'install'.
For more information about theme installation, please read carefully BurnEngine Documentation.
If you think you've made everything according to the installation instructions and this message continues to appear, please contact ThemeBurn support team.