When you command TestComplete to create a load test using another SmartBear product, LoadComplete, and your project, most likely, does not have tests that work with web pages, TestComplete will show an error message.
In LoadComplete, load tests are based on scenarios. To create a scenario, LoadComplete records user actions on the tested web site. When you are creating scenarios from TestComplete tests, TestComplete simulates user actions on the tested web site and LoadComplete records requests sent and responses received. See Integration With LoadComplete - Creating Load Tests.
Typically, functional web tests in TestComplete use the Browser object to work with web pages. If this object is not in the Name Mapping repository, this indicates that most likely, your project does not have web tests and the recording will be meaningless, as the recorded scenario will not contain any traffic. TestComplete displays this message to inform you about this.
Your tests may address web browsers through the Sys object (Sys.Browser("iexplore")...) rather than through Name Mapping. In this case, creating a load test is meaningful.
You can cancel load test creation and check whether your project contains web tests. If you have several projects in your project suite, you might have chosen a non-web-testing project accidentally. So, check this and try to create load tests again.
See Also
Integration With LoadComplete - Creating Load Tests
About LoadComplete