Usually this message comes up when there is no OS on your hard drive or other bootable device, like a bootable USB device. The computer does not know what to do when you turned it on, meaning that you either have no hard drive with Windows or another operating system connected to the computer, so the computer is asking for you to connect one.
If you have not made any hardware changes, open up your computer and make sure that the hard drive is still securely connected to the power and SATA data cable. If the hard drive is clearly connected, but the computer still asks for a boot device, then it is likely your hard drive has had its boot file corrupted or the hard drive is physically damaged and not working properly. Luckily a boot file has a chance of being fixed by using software, but if your hard drive is damaged, it would be best to try to retrieve data off it, in either case you would need to connect the hard drive another computer to perform either course of action.
This can also occur if you have replaced the hard drive with a fresh\new hard drive. It does not come with an OS and must be installed before booting into Windows or your installed OS.