Ah.
This is because you haven't put the wad file/s (half-life texture packages) in the right place.
You will need to get
GCF scape to open the GCF's in your steam account folder ("steam/steamapps/[NICK]/...")
If you are mapping for Half-life, you will need to open the GCF called "half-life" (duh) and look for the WAD files.
When you get the wad files, copy them to your hammer tools archive.
(the folder where you have your compile tools; rad, vis, bsp and cgf)
when you have copied all of the wad files you're done and ready to compile.
But only if you are using original textures
If you are using customs you will need to put those wads into the tools folder