It basically means you have no credit history, so to a lender, you're untrustworthy because you have nothing for them to go off of.
Easiest way to get some: get a credit card, use it VERY sparely, and pay it in full. (Like, say, fill your car up with it.) Never pay late. Alternately, if your parents have good credit, get them to get you a card on one of their accounts. Never use it. You'll coast on theirs.
I dunno what sort of credit it would get you, but it would at least get you some.
Cosigners are good for loans, though, too.