Hi,
This error is coming from Photon Networking framework itself, so it's likely that indeed, the gameObject you are referencing in the Instantiate Action is not in a "Resources" folder
"Resources" folders are special folders treated in a very specific way by unity, so simply move your prefab in a "Resources" and you then should be fine ( double check on the actual demo, the "fsm photon player" is in a "resources" folder).
bye,
Jean