Did you download, install and run Bitcoin Core? It is a completely separate application from Armory. You would (should!) know if you downloaded and installed it!

If you haven't already, you can download Bitcoin Core from here: https://bitcoincore.org/

For Armory to work properly, you will need Bitcoin Core installed, running and FULLY synced. NOTE: this will mean that you will need to wait for it to fully sync the ~250 gigs of blockchain data.