The elusive object variable

The first question here is who could possibly think it would be okay to give a message like this to a hapless end user. But, as I saw this message every day for over a year, I also wondered:
Why does my object variable need to be set?
What does it need to be set to?
How does one set an object variable?
For that matter, how does one unset an object variable?
What is the object in question, anyway?
Why is there no perceivable difference in performance when an object variable is not set?
And, most importantly, WTF?