DLL problem

I've never worked with DLLs in a project before and I've got a problem dealing with one. I am running a demo Visual C++ program, created by an author of a game programming book. I converted it from VC++6.0 to VC++7.0 and when I try to START or START WITHOUT DEBUGGING the program, it builds and then pops up with a window that states "Please specify the name of the executable file to be used for the debug session." as shown here:

I do not know what to do to get past this point so that I can see the result of the written program.
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