Facing reboot and select proper device issue

I'm facing one weird issue in my system since yesterday. Whenever I turn on my PC, it shows "reboot and select proper device or insert boot media in selected boot device and press a key". What does this mean?

I never faced such issue so don't know what to do. Any help would be appreciated.
 
The boot process

1.After pressing the power button, the PC’s firmware initiates a Power-On Self Test (POST) and loads firmware settings. This pre-boot process ends when a valid system disk is detected.
2.Firmware reads the master boot record (MBR), and then starts Bootmgr.exe. Bootmgr.exe finds and starts the Windows loader (Winload.exe) on the Windows boot partition.
3.Essential drivers required to start the Windows kernel are loaded and the kernel starts to run, loading into memory the system registry hive and additional drivers that are marked as BOOT_START.
4.The kernel passes control to the session manager process (Smss.exe) which initializes the system session, and loads and starts the devices and drivers that are not marked BOOT_START.
5.Winlogon.exe starts, the user logon screen appears, the service control manager starts services, and any Group Policy scripts are run. When the user logs in, Windows creates a session for that user.
6.Explorer.exe starts, the system creates the desktop window manager (DWM) process, which initializes the desktop and displays it.

is initiated when you power on your PC
In step2, your PC is unable to locate the boot partition and is giving you that message.

Have you recently installed a new HDD or done anything to alter the physical wiring which connects the boot drive ?
If so, simply reconnect the boot drive to its previous cable.
If not, then hit "del" repeatedly as you power up (normally "del" but could be a PF key depending on the make of PC - the boot splash screen should contain a message telling you which)
This will take you into the BIOS settings, where you should navigate to the "boot" section and make sure that your boot drive is at the top of the HDD boot priority list.
If you are unfamiliar with altering the BIOS, a Bing search on "reboot and select proper device or insert boot media in selected boot device and press a key" will show you a selection of YouTube videos to guide you.
 
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