My guess is that you (or another author?) added an index link set to your project but then did not add any terms to it. (An index link set provides a way to set up "See" and "See also" links in a generated index.) The item "My Linked Term" is the default term in an index link set when it the set is added to the project. Since you probably don't have a term in your index called "My Linked Term," you get the error message when you generate your output. There's no "My Linked Term" to provide a "See" or "See also" link to.
In the Project Organizer, look in the Advanced folder. You'll likely see an index link set called "NewIndexLinks". If you open that, you'll see the "My Linked Term" mentioned above. If you don't plan to use the index link set, you can simply remove it from your project. When you regenerate, you shouldn't see that error any more. If you do plan to use the index link set, add your own terms for which you want "See" and "See also" links in the index, and be sure to delete the default "My Linked Term" item (else add a "My Linked Term" to your index
.)
(For the benefit of other viewers of this topic, to add an index link set to a project, select Project > Advanced > Add Index Link Set.)
Hope this helps.
Nita