Yeah... that message is a little cryptic. I'll look at changing the verbiage to be a little more clear.
You'll find some stuff about it in the, 'Play a Sound' section of the VoiceAttack help document (installed with VoiceAttack).
In a nutshell, it's telling you that you need to choose a .wav file if you are using, 'Legacy Audio' mode. You are using, 'Legacy Audio' mode if you, a) Chose that option in the options screen or b) You do not have Windows Media Player installed on your system (again, all this is detailed in the help file in the, 'Play a Sound' section).
The only remedy for this is to either get yourself out of, 'Legacy Audio' mode by installing Windows Media Player (or unchecking the option) so you can play the .mp3 file, or you can convert your .mp3 to .wav and play that instead.
Hope that makes sense & helps some!
Gary