When the game starts you must click on 'Setup' before selecting 'Train' or 'Tournament' from the menu options. You do not need to change any settings, just click ok and then selecting 'Train' or 'Tournament' will work fine. You must do this everytime you start the program.
Strange I know, but I had exactly the same problem and that's how to solve it!
EDIT: Just read your first post. I've never had that message in any other games but Summer Challenge and Winter Challenge, what else have you had that message in? I know my solution works in both of those games!