It means it doesn't know where egfr is. I assume you typed that in. It looks like the gene tracks didn't load. You can download them and load from the file menu (File > Load from file...). They are available at UCSC, here is a direct link:
http://hgdownload.cse.ucsc.edu/goldenPath/hg19/database/refGene.txt.gz. After loading this file you can search for genes by name.
From all your symptoms I think there is some network issue that prevents you from using IGV using remote hosted resources. So I suggest you download the fasta and reference gene files you want to use and define them locally. See the user guide section on "genomes" for details. You already have hg19, if you list other assemblies you are using I will provide links for downloading.