This message simply means that SPTD is not installed/present on your computer. SPTD is a driver that Daemon Tools v4.x depends on in order to function. Personally, I can't say for sure why SPTD isn't installed properly on your computer, but I suggest the following:
* Go to the Downloads section and find SPTDinst_X86 (or SPTDinst_X64 if you're using Windows XP x64 Edition)
* Download it - preferably to a location that will be simple for you to locate later
* Run "sptdinst_x86.exe add". For example, if you downloaded the file to C:\Temp, you could click Start -> Run (or simply press Windows key + R) and type c:\temp\sptdinst_x86.exe add. Obviously, if you downloaded the x64 version, you should substitute "sptdinst_x86.exe" with "sptdinst_x64.exe".
I hope this can be of help to those of you who experience this issue.