MAINT: More informative TypeError for IndexEngine.get_loc
Title is self-explanatory.  Closes #12218.

Are either of the following necessary for this PR:

1) What's New (if yes, which section?)
2) Unit test (if yes, where?)
 I don't believe this ever becomes an external exception 
 But the issue that I'm closing showed an example where the Exception was thrown
 so this is right

so add a test that asserts the contents of the error message

it's s type error because the indexer is not the correct type to select the level 
 Added a test, and the test passes on Travis.  Should be good to merge if there is nothing else.
 Not really sure why Python 3.4 is failing, as the failing test case has no relation to what I changed.  I'm going to rebase onto `master` so as to trigger Travis again.
 Tests are passing, so this should be good to merge if there is nothing else.
 can you add a whatsnew note (you can put in bug fixes is fine). ping when pushed.
 018.0 is ok
 Sorry, as soon as I posted the question, I saw you had already added it to the `0.18.0` milestone, which made the answer somewhat obvious. :smile: 
 Could you cancel some of my duplicate, older builds?  I see no reason for them to run given all of the updating I have done.  Thanks!
 done, do you know any way to configure that on Travis? (e.g. it builds pull-requests, but I want force pushes to cancel anything but the last one). 
 Unfortunately not.  See <a href="https://github.com/travis-ci/travis-ci/issues/964">here</a>.
 actually I _think_ this will work as the ref commit is now gone. (if you force push on the same branch) 
 I'm not entirely sure I follow what you mean since I do force pushes all time with my PR's in `pandas` and haven't seen that happen.
 what I mean is that if you force push, then when Travis tries to build it is fails (but is grey so doesn't count) and doesn't build the previous commit (but instead builds your new one)
 On a separate note, is there a `pandas-svn` mailing list (similar to `numpy` and `scipy`) that GitHub can send notifications to to let us know when merges / commits have been made to the `master` branch?  I find such notifications to be quite useful so that PR branches don't get too far behind the `master` branch.
 Regarding Travis: that should work I suppose, but I haven't seen that work consistently in practice, at least not in this library.  IDK if there's a way to guarantee Travis can't find the old ref.
 @gfyoung where is this list defined?

yes easy to add to Travis
 Oh, I meant : does such a mailing list exist?
 @gfyoung could create one, what I meant was does `numpy` define one somewhere?

@jorisvandenbossche @TomAugspurger would this be useful?
 @jreback : If you visit this link <a href="http://www.scipy.org/scipylib/mailing-lists.html">here</a>, you'll see it there.  Every time PR's get merged into `master` or commits are made, everyone on that list gets notified.
 @gfyoung can you make a separate issue about this. (and include that pointer)
 thanks!
