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This isn't a reproducible problem. Very likely something else is the problem, so show us exactly what you typed, preferably with a standard dataset such as the auto data.
Assuming you typed your command correctly, one possibility is that Stata doesn't know where to find the regress command. Type sysdir to see where it thinks it should be and then check in that location to see if regress.ado is really there.
Joe, I think you maybe right. I attached a screenshot of what I am doing. It doesn't work even when I use the tool bar.
I was deleting files in my computer last night and I deleted a bunch of Stata files with the name regression in them because I didn't need them anymore. I think I deleted regress.ado!
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