The message is correct.
The Lr catalog cannot be on a network drive.
The Lr catalog cannot be on a "read-only" drive. The drive where the catalog is on has to have "full control" (Windows) or "read and write" (Mac).
The Lr catalog can be on a external hard drive but - obviously - it has to be connected to the computer.
Check the permission for the drive. It needs to be set for "full control / read and write" for the account you are working in.