You can try to right-click on the exe and run as admin. Might be a permissions issue as I have run tests where .oob, .btl and the .ini files are missing and that message doesn't crop up.
Just to cover all bases, here is a pic of how I add the exe to my save games.
Here's where I unzip the reporter. This directory contains all the .btl files and the .oob associated with the scenario being played. The jtsreporter directory is in this directory.
jtspath.png (Size: 59.84 KB / Downloads: 16)
Here's a shot of the .ini file (which is unchanged).
jtswini.png (Size: 24.53 KB / Downloads: 11)
I'll keep investigating. Let me know if you have any success. Apologies for the complications.