Sugar,
Sorry to tell you this but that is how Nile fist starts up. It's looking for the resources file. All you need to do is browse through your directory to find:
Program Files\Novalogic\Joint Operations Typhoon Rising and then Nile can find all the files it needs to operate.
The other trick for first time users is when you go to create your first map, your view will most likely be very high in the sky and you wont be able to see any terrain.
Let us know how you get on.
I just noticed that BB has very detailed instructions here:
http://jointops.org/smf/index.php?topic=16.0