Most probably, you run in Windows DOS box, and you put nodpmi into your GO32 environment variable. DPMI mode is the only way to run djgpp programs under Windows. It can also be that you have an old go32 somewhere along your PATH.

More generally, this error message is printed when go32 finds the CPU in Virtual-8086 (V86) mode, but can't find any services it needs to get to protected mode. Sometimes, removing the noems parameter from the line in config.sys which invokes your memory manager, will solve the problem.