What is the rest of the error message?
As Hari stated, without a more detailed message it will be difficult for us to help you on this issue without making assumptions. If you could provide a screenshot of the message and provide more information regarding what data source you are using, that will help.
Might be worth looking at this article if it is an Excel data source: Error "Tableau Data Engine Error: 406: Unable to connect to the file" Connecting to Excel | Tableau Software
To get a better indication of whats going on could I ask a few questions?
What version of Tableau Desktop are you on?
What kind of data source are you using?
Have you tried creating an extract off of it if it is a live data source?
Is there a particular action you are doing before getting that error message?