Do you have uncommitted changes in the file that's in your working copy? Or is your working copy clean? The EGit documentation guides you thru the latter scenario.
In my experience, the error dialog posted by @lmray is what EGit shows when a local working copy has uncommitted changes. EGit wishes to merge in information from the remote but I'm told it will not modify a dirty working copy. To proceed, you must first commit your changes locally, giving you a fallback point, then request merge again. The merge should then produce a merged file, hopefully without any conflicts.
Thanks to @B. Dalton for trying to straighten me out - my dirty working copy file had uncommitted changes, and a local git wizard explained things.
Digression: this is a mental adjustment if you (like me) were used to working with SVN, which would happily pull remote changes into a dirty local working file. Not saying that was better, just that git works differently. I'm still struggling to convert my SVN-trained intuition over to suitable expectations for Git.