That means you need to create your own dummy variables instead using the factor variable notation i.dummyvar. Try this:
tab dummyvar, gen(D)
reg y D*
This will creates a set of dummy variables (D1, D2,...) reflecting the observed values of the tabulated variable.
Some of the older user-written commands do not know what to do with the factor variable notation, which is convenient, but fairly new.
You can also explore xi
for more complicated tasks.