I got this error from etrade Your sell short order cannot be processed. Either you do not have a margin account or short sales in this security are not allowed. You can find an explanation of short sales in under the Buying and Selling Stocks section. I put in an order to short 25,000 shares at 1.15 and I got this error even though I have more than enough margin/cash/equity.
It means your broker can't find the share to short. This is not rocket science and this is not ETrade's helpdesk.