I dont know why its having that error. However, you shouldnt be running it by clicking the icon.
The NMap tool is designed to be run in a command prompt. Double clicking the "nmap.exe" file opens the command prompt, but then closes it again (because windows was always designed around GUI tools, and command prompt tools support sucks).
To run NMap (on WinXP, i assume same steps in Vista):
1) Click Start -> Run
2) Type 'c:'
3) Type 'cd program files\nmap'
4) type 'nmap'
I dont think that this will actually work, because windows CMD doesnt like the space character in its commands. To get around this, you can either enclose the path to NMap (Which should be c:\program files\nmap\nmap.exe if you followed default installation) in double quotes (like this: cd "c:\program files\nmap", then type "nmap).
The other way is to use the TAB key when you have started typing "progr". This will autocomplete the folder name. Dont worry if it looks something like "PROGRA~1", thats just windows way of being shit - although XP and Vista (should have) fixed this.
If that doesnt work, you should check that you have actually downloaded the windows self installer. Link: http://download.insecure.org/nmap/dist/nmap-4.68-setup.exe
By the way, you *did* read the instructions (LINK : http://nmap.org/book/inst-windows.html
), didnt you?
NMap is a PORT of a LINUX tool - as such, its not quite
as good as the linux version... get linux and learn to use it. Its free.
Otherwise, there's always the Insecure Mailing List - you could post a question there, too. Find the mailing lists in Insecure.org's site. (I dont reccomend asking on the lists, but you probably could - you might even get a response. However, troubleshooting errors like that isnt the main point of said lists).