What exactly does it says on error message. Usually to connect bluetooth headphones you need the pairing key that comes in a paper inside the box of the headphones. Make sure the headphones or the phone isn't connected with any other devices.
Most bluetooth headphones can only connect to one thing at a time, you need to find the instructions for your headphones and either
A. reset them so they go into pairing mode right as they are turned on
B. Find out how to put them into pairing mode.
Simply turning them on will not put them into pairing mode.