IGV, like other applications that read BAM files, needs an accompanying index file. Whoever creates the bam file typically also creates the index file. It will have the same name as the bam file but will end with .bai. If you are using the IGV desktop application, the index file needs to be in the same folder as the main bam file. If you are using the IGV web app, you need to load the index file at the same time as you load the bam file.