You have attempted to update a Makefile which does not exist.
Check that the name of your Makefile is correct in the code generation dialog, and also that you really intended to update rather than create a new Makefile: display the Makefile Options panel by pressing the bottom right Options button in the code generation dialog, and check that the New toggle is appropriately set.
If these are correctly specified, then the last item to check before inspecting the file system and reaching for the backup tapes is to see whether the base directory has changed in the code generation dialog.
See also: