You're getting an error because you try to use empheq inside another math environment, which doesn't make sense. However, you don't really need empheq for that, you can just use substack surrounded with \left\{ ... \right.
\documentclass{article}
\usepackage{amsmath}
\begin{document}
\[
I_{P+AH, a} = \sum_{\left\{ \substack{
\tau_i \text{ ATTIVO} \\
d_i < d_{a_i}
} \right.}
c
\]
\end{document}

If you want the conditions to be left-aligned, you can follow @daleif's suggestion and use a subarray environment instead of \substack.
\documentclass{article}
\usepackage{amsmath}
\begin{document}
\[
I_{P+AH, a} = \sum_{\left\{ \begin{subarray}{l}
\tau_i \text{ ATTIVO} \\
d_i < d_{a_i}
\end{subarray} \right.}
c
\]
\end{document}

Also, it is not related to your problem, but you should not use $$...$$, you should use \[...\] instead.