The chat is not correctly installed. To install the chat correctly, you need to place it in a virtual directory on the webserver.
If you have access to the Microsoft Management Console on the server, you can create a virtual directory yourself (see the documentation for MMC).
If you are using the chat on a server provided by a web host, ask your web host's technical support personnel to do this for you. If necessary, you can direct them to this page so that they can read this message.