As error clearly states:
"Content controls are allowed only in content page that references a master page.", if you try to use Content control on a page then it has to refer a master page.
Generally, when you define something in content control, .NET runtime tries to fit in that content in a defined master page placeholder to form complete page. If you just provide content control then it will not understand where exactly to use it.
Read some basics about Master page here:
MSDN: ASP.NET Master Pages[
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ASPNET: ASP.NET Master Pages Tutorials[
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ASP.NET 2.0 Master Pages[
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