The Band In A Box plug-in uses a file called Default.Har as a reference for its harmonies. However, unlike most files involved with a program, this file must be placed in the same location where the file you are working with is saved.
For example if you are working on a file that is saved in your "My Documents" folder, you will need to put a copy of the Default.har file into the "My Documents" folder too. The Default.har file is located in the Finale application folder (usually C:\Program Files (x86)\Finale [your version number])
If you are not sure which folder you need to put a copy of this folder in, the error message should tell you in which folder this file is required.