I can not reproduce your error, how much I try.
Did you do as I told you? Download the latest version and reinstall it. There's no need to start HotSpot Shield manually, it installs itself to your notification area.
If you install it correctly, you don't have to worry about this kind of errors. Remember to allow installation of HSS Network Adapter, if asked:
If you just hit Enter when this dialog appears, it is not installed because default choice is Don't Install.
Then simply right click the icon in notification area and choose Connect when you want to hide your IP.