That message can be ignored if you are not playing on partypoker or if your partypoker skin does not save local hand histories while you are playing. If you don't want to see the message then you can turn off the 'Get Hands From Site While Playing' option in 'Configure -> Sites & Import Options -> Site Configuration -> partypoker'.
If you playing on partypoker then please note that partypoker.com no longer provides downloadable hand history files as you play so a HUD will not work there but you can download hands from the partypoker client afterwards and import them into PokerTracker 4 using 'Play Poker -> Get Hands From Disk' to review/track your data:
https://help.partypoker.com/en/poker-he ... nd-historyIf you are on a region specific skin with its own player pool that still provides hand history files as you play then a HUD would still be supported:
PartyPoker Configuration Guide