What scenario is it? You could try posting in its thread for more help, but judging by the error message, did you download ALL the unit files? And put them in their rightful place? If you did, then it's probably a problem with the scenario, not you. If you didn't, your file structure should look like this:
You should have a .../Scenarios/ folder. In there, the scenario.biq file and your Scenario's folder. In the scenario's folder, you should have an art + text folder, and inside the art folder, some more subfolders with unit files, etc.