How to sort it out ?
You can search for "ADF110I site:IBM.COM" and it will display the information about the message. The message explanation echo's Willy's post about needing to be logged on using the TSO Session Manager.
When you specify your logon password, there is typically a field where you specify the name of the logon procedure. I suppose the default logon procedure is non-session manager. You need to find out the name of the proc for session manager at your site and specify it when you logon. It is possible that such a logon proc does not exist. If not, you will need to add it and get authorized to use it.