This means your lens is not coupling to the camera body correctly. Wipe/clean the electric contacts around the lens ring on both the camera body and the lens itself, then re-attach. that oughta fix it.. assuming your CF card is working right.
To expand on ehowland's message, it sounds like you're using a non-G type lens that needs to have the aperture set to the largest number (smallest opening) in order to meter.
For example, with the 35mm f/2 seen below, the smallest opening (22) is marked in orange. This needs to be lined up with the marker that shows what the aperture is set at. Most lenses have a lock, seen to the right in this picture, that slides up to lock the aperture at this value.
This image shows the aperture set at f/22, and the locking tab set to the locked position so the aperture doesn't accidentally get moved while on the camera.
If this doesn't fix the problem, or if you're using a G-type lens (no aperture ring present), then BobOlary's advice makes sense; it's probably an issue with the contacts between the lens and the camera.