I have installed Cognos 10 Framework Manager in my client computer and when I tried creating a new project, this pop up message showed up.
I heard that you need to have a webservice in this context. The question is> How should I solve this problem_

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Framework Manager should typically be configured to connect to a running Cognos BI instance. If you don’t have one of those, you will get errors trying to perform a variety of activities within an FM project (such as applying row-level security). Even getting started will be difficult, since Framework Manager will reach out to the BI Server to retrieve things like data source information.
If you have a running BI Server somewhere, you need to configure the FM instance (Cognos Configuration on your client system) to point at the Gateway and Dispatcher URLs for the Cognos BI Server. Here’s the relevant docs on IBM’s site:
http://publib.boulder.ibm.com/infocenter/cbi/v10r1m1/topic/com.ibm.swg.ba.cognos.inst_cr_winux.10.1.1.doc/t_steps_configure_fm_environment_properties.html#steps_configure_FM_environment_properties