No guest operating systems are bundled with VirtualBox. When you select an OS in VirtualBox, say Ubuntu, this creates a virtual PC suitable for running Ubuntu. It does not install an operating system for you. You need to download an OS setup CD, typically as an ISO, and mount that ISO in the VM for the first boot, then follow that OS's installation instructions.
The error message means what it says. It means that none of the virtual disks currently attached to the virtual PC contains a bootable OS.