What does "SyntaxError: Missing parentheses in call to 'print'" mean in Python?

When I try to use a print statement in Python, it gives me this error:

>>> print "Hello, World!"
  File "", line 1
    print "Hello, World!"
                        ^
SyntaxError: Missing parentheses in call to 'print'

What does that mean?

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_{See Getting SyntaxError for print with keyword argument end=' ' for the opposite problem.}

_{See Python 3 print without parenthesis for workarounds, and confirmation that print cannot be made to work like a statement in Python 3.}