In addition to what Rick said, make sure you have a page in the subdirectory designated as the home page. (In the map, right-click on the page you want to be the main page of the subdirectory and look at "Properties". If it's not already the home page, check that box.) The file won't publish without an index page, and I'm wondering if maybe that's what it means by "no index document." When starting a .tlx file from scratch, the program automatically designates an index page, but if you've moved part of a .tlx file to a subdirectory, and that part doesn't contain the site's home page, you may have to set that property yourself.
ETA: Note - If you have navigation links in the subdirectory that link to "home page of document" rather than to the URL of the site's home page, setting your subdirectory's index page will make those links navigate to that page instead of the site's home page. This is easy to fix in format>page layouts, so you don't have to fix it on each page. In the page layout, highlight the link (most layouts have a built-in "home" link), use "unlink", and then use "link to URL or file" by putting in the URL of your site's home page. You don't have to change the text of the link - it can still say "home", even though it's linking to the other .tlx file. In fact, that's how I do virtually all of my subdirectories, so the site visitor can follow the link to the real home page of the site.
