Are you using 'FH+'? .O. It sounds like it....
If you are, you need da orginal FH First.
Make a character on there and run them over to Bonfire, if you still want to use the '+' version that is.
If you are using the plus version (It's very glitcheh and buggy :\) then boot up your FH+ and select the character your ran over to bonfire not too long ago.