I understand the problem now, thank you.
The call to the function was this:
CStateManager::change_state(this, nextState);
How can I modify it so that "this" is passed by reference? (If it's possible at all)
Ah, I see. No, it is illegal to modify "this", at least in C++. This means your design has failed, and you need to rethink it. Why do you need different classes for State_Main_Menu, State_Exit, etc...? Is an enum flag not enough? What are you trying to do, exactly? It looks like you are trying to implement a state machine for your GUI, but this is clearly not the right approach here, as the language is very clearly telling you "don't do this".