This seems to only come up on Windows 98 & ME on certain setups. I'm yet to determine why, however!
In the meantime, you can set these paths up manually by opening the SKJukebox.ini file in the text editor of your choice, and just changing the 2nd line to contain your paths.
For example :
[Directories]
MP3Dirs=D:\Music
If you need to have more than one path, just separate them with a semi-colon
[Directories]
MP3Dirs=D:\Music;E:\More Music
That should get you around this until I can find what's causing this issue.