Hi Anna,
This is a violation of a custom validation rule which is set up in your SFDC instance. The message itself is customized, so it's not posisble to determine exactly why it is occurring without consulting the rules which are set up, but if I had to guess, I would say that there is a requirement that you must add membership to a campaign prior to making a change to a particular status field in your SFDC instance. I would consult your SFDC admin for further assistance.