That means the catalog file/folder is missing or could not be created (C:\Program Files\Pub Jukebox\Catalog\data.xml).
it could be a permissions thing, try running PJ as administrator, could your antivirus be interfearing(removing the file as its created) perhaps?...
Not sure what is causing it but thats the problem.
try scanning music a few times and if it happens every time I would say there is something wrong on windows.
As a last resort I guess you could try making the file yourself, just make a blank text file in this folder (C:\Program Files\Pub Jukebox\Catalog\) and rename it to Data.xml
Tell us how you got on....