I just added a person to the payroll system.  When I click on his name to generate a paycheck, I get a "No Payroll for this Employee" message.  What do I need to do in order to process a paycheck?

This message simply means that no payroll checks have been generated for this employee. It does not mean that you cannot generate a paycheck. Generate a payroll check for this employee just like you would for any other employee.