Yes you do, but advice is a mass noun - it's uncountable. It's like water, or sand; you don't say a water or a sand, you just say water or sand.
Advice works the same. You just talk about advice, in general, or a piece of advice if you're being specific, just like you'd talk about a drop of water or a grain of sand. (Or a handful of sand or a bucket of sand or whatever.)