From Joomla! Documentation
If you do not have yet set up a multilingual site, you'll see a message mentioning the Multilingual Associations component can't be used if the site is not set as multilingual and/or if Items Associations is not enabled in the Language Filter plugin.
How to install multilingual sites
After installing you can find more information on how to install a multilingual site in this documentation. Please navigate to multilingual sites tutorial.
How it should work
If your website is ready for multilingual, you can open the Multilingual Associations Manager in the backend.