When you attempt to join a mission while you have an open matchmaking lobby in Marvel's Avengers, other players will attempt to connect to you. If they successfully connect to your game, your team will continue the mission with you until complete. Before that happens, you need to connect with them. An unfortunately common sight is to have a session failed error on your screen and you are returned to the main menu of the game.
The best way to make sure you don't encounter this error is to check your internet connection. If you run into any issues, they might happen there, but it's unlikely. The next step is to give Marvel's Avengers a fresh start by turning it off and then back on before trying another game. If you keep getting this error, you can try creating a game without matchmaking with other players.
To stop matchmaking from happening automatically, you need to change your options settings. Go to the main settings, then go to the gameplay tab. The third option should say matchmaking, and you need to turn it off. Now, whenever you attempt to do a mission that allows multiple players to do it together, you don't automatically do it with random players. Go back to the war table after disabling this setting and try creating a match again, and the error should no longer appear.