Do not panic! Simply dismiss the message and then choose an MP3 song when requested. You will see the error pop up again. Ignore it.
Now click on the 
button using the RIGHT mouse button. You will see this message:
Obviously you'll wish to answer Yes.
After a brief message, the song (and lyrics, if any) will be reloaded and it should all work now.
By the way, I trust that if there is a problem with WaxLyrical you'll report it to me! :-)
Why this happens (geeky):
I can sum it up in five words: VisualBasic needs an atexit() handler.