This error message can appear under several different circumstances, but it's most likely that there is a problem with the formula itself. The first thing I would suggest is to carefully check that you're referring to the correct cells for each of the VLOOKUP function's arguments.
You can see how to set up a VLOOKUP formula correctly in the video tutorial: Expert Skills Lesson 3-22 Use a VLOOKUP function for an exact lookup.
If you're trying to perform an inexact lookup, you should also make sure that the lookup values are sorted in ascending order. It's also possible that you've accidentally selected an inexact lookup when you actually need an exact lookup, so this is worth checking too.
You can see a full explanation of the difference between exact and inexact lookups in the video lesson: Expert Skills Lesson 3-24 Use a VLOOKUP function for an inexact lookup.
I hope this helps and you're able to fix the problem, but please feel free to reply if you're still having trouble. If you'd like to attach a copy of your workbook I can also take a look and find the problem for you. You can find instructions on how to attach workbooks here.
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