That probably means that the game you were trying to launch wants to switch to a fullscreen mode, but X.org (which Linux uses) is on your machine not configured in a way to provide the specific screen resolution the game wanted to switch to.
Alas, you didn't give enough information for a proper solution to your problem.
* Which distribution are you using?
* Which graphic card?
* What game is it? (To find out whether it uses SDL or something else)
Here is something you can try for now:
Many games provide an option to be started in "window"-mode instead of fullscreen.
Open a terminal, cd to the directory where the game is installed and start it from there, but append "--help" behind the command name (or "-h" if that didn't work)! Keep an eye open for an option that looks as if it starts the game in window-mode.