Remove elements of a vector inside the loop

Forget the loop and use the std or boost range algorthims.
Using Boost.Range en Lambda it would look like this:

boost::remove_if( allPlayers, bind(&Player::getpMoney, _1)<=0 );

if(allPlayers.empty() == false) {
    for(int i = allPlayers.size() - 1; i >= 0; i--) {
        if(allPlayers.at(i).getpMoney() <= 0) {
            allPlayers.erase( allPlayers.begin() + i ); 
        }
    }
}

This is my way to remove elements in vector. It's easy to understand and doesn't need any tricks.

You should not increment it in the for loop:

for (vector<Player>::iterator it=allPlayers.begin(); 
                              it!=allPlayers.end(); 
                              /*it++*/) <----------- I commented it.
{

   if(it->getpMoney()<=0) 
      it = allPlayers.erase(it);
  else 
      ++it;
 }

Notice the commented part;it++ is not needed there, as it is getting incremented in the for-body itself.

As for the error "'operator =' function is unavailable in 'Player’", it comes from the usage of erase() which internally uses operator= to move elements in the vector. In order to use erase(), the objects of class Player must be assignable, which means you need to implement operator= for Player class.

Anyway, you should avoid raw loop¹ as much as possible and should prefer to use algorithms instead. In this case, the popular Erase-Remove Idiom can simplify what you're doing.

allPlayers.erase(
    std::remove_if(
        allPlayers.begin(), 
        allPlayers.end(),
        [](Player const & p) { return p.getpMoney() <= 0; }
    ), 
    allPlayers.end()
); 

^{1. It's one of the best talks by Sean Parent that I've ever watched.}