If you recieve an error asking you to "Specify the location for Delphi", then you must manually enter the location of Delphi by going to "Edit" → "Settings…". Then specify the proper path name in the "Delphi Directory" text box.

If you get errors to the effect of "Missing charge parameter file" or "Missing size parameter file", keep in mind that both of these must be specified or else neither. And in cases where VMD cannot read charge or radius information directly from the loaded molecule file (such as a PDB file), both of these parameter files must be specified in the "Input File" window.