This means literally what it says. In general, most machines 'should' have some basic scripting installed. This often means JavaScript though, since it is far more used. The plugin uses VBScript and apparently this is not always installed on the machine. You need to install the newest copy. There is a link, hidden inconveniently, on the Plugins page
http://www.gammon.com.au/mushclient/plugins/ under the Calendar plugin. You may want to install the MDAC package as well while you are at it. There is apparently some things in there like the ATL.DLL that some things need and is only installed on the machine with MDAC or as part of a compiler like VC++.
Basically the error is literally saying that Mushclient tried to start the 'engine' that runs the scripts, but couldn't find any version of it listed in the registry. This usually means it doesn't exist any place on the machine.
Oh BTW, speaking to a similar issue: Nick and anyone else using Databases... I went looking through the system registry a while back to see what database types I had on my system. I found that when you use something like:
Provider=Microsoft.Jet.OLEDB.4.0
This is overkill. You can (and probably should) instead use "Microsoft.Jet.OLEDB". All database drivers include a 'Version Independent ID' that you can use to request a connection. By using Microsoft.Jet.OLEDB you will be able to open a database even if you only have 3.51 installed or you upgrade to something like 5.0 (whenever MS comes out with such). If you use the full name and version, then it will fail unless you have that 'specific' version installed. Though my registry shows 3.51 and 4.0, so prior installed versions are probably still available, if you had them in the first place. Someone jumping from 3.51 to some new 5.0 version would still not be able to use the 4.0 provider name.