Hello, this message means you do not have a serial connection to your arduino. Open the Arduino IDE program and check under tools/port and see what port com your arduino is on and then set it to the same in the AR2 software. Just FYI I will be adding a logging screen with error messages for things like this so errors will be clearer. Also under the tutorials tab on this website there are some videos on setup and calibration that might be helpful.
Also some additional information. You can only have one serial connection open to the arudino at a time.
So if you have the serial monitor open and then run the AR2 software it won't be able to connect to it. So be sure to close the serial monitor.