Hi! This generally means that the battery is dead. MacBooks, unlike iBooks, are pretty blunt when it comes to telling you a battery is no longer any good, which is actually pretty nice, because it's better than being misled into hours of testing, when at the end of the day you probably just have a dead battery.
I'd download Coconut Battery, a free battery meter which shows more info than the Mac OS, and see what it says. Here's a link to the download:
It will show whether or not it's taking a charge, what the maximum capacity of the battery is compared to new, and how many load cycles the battery has (how many times it's been charged and discharged).
But assuming your MacBook does not have a hardware issue that is preventing it from seeing/charging the battery, the most obvious answer is just that the battery is bad. The best way to test this is to borrow a good battery from a friend, and verify the laptop behaves correctly with a known-good battery. That will tell you whether your battery or the laptop is the problem: If the borrowed battery works fine, your battery is dead and needs replacement, and if the borrowed battery behaves just like your battery and the X is still present, then your laptop has an issue. If that's the case, let me know, and we can start going down that road.