Please check and verify what the message is telling you:
- Is the catalog on a local drive?
- Does the account / LR have full access privileges to the catalog and folder where it is located?
What is your OS and LR version?
I think the message is very clear. You can't store the LR catalog file on a networked drive. It has to be stored on a physical drive/disk that is connected directly to your computer. That can be an internal drive or one connected externally by USB or Thunderbolt port. But it has to be on a local drive.
It also has to be on a drive and in a folder that your User Name has Read + Write permissions to.