Perhaps a wrong/incompatilble version of the JRE (Java Runtime Environment). Get whatever version the Theme Studio requires from http://java.sun.com
Also, the current Series 60 Theme Studio does not need Windows 2000 compatibility mode for installation (like the first releases did). And no version has needed it for anything except the installation.
have tried it with lots of java systems, including the latest from sun.com and also the one that comes with theme studio. I realised that it doesn't need compatability mode and still cannot get past this error.