This can be one of two things that I know of. The file it is referring to is JEMM.OVL; you are either missing that file (meaning something is wrong with your installation) or you are trying to run the game from a different directory.
First check your armada directory and make sure JEMM.OVL is there and that its size isn't zero.
When you try to run the game, make sure your dos prompt shows the directory Armada is installed in e.g. "C:\Armada". You shouldn't be typing something like 'c:\armada\armada.exe' to start the game, just 'armada', 'armadacd', or 'armadadb', depending on your setup.
If this does not help, please describe exactly where armada is installed, and what commands you are using to run it, especially how you are mounting your drives.