I was following the instructions to install MTGPlay (by fatalsync), when I got to step 3, and I got an error message. Right after I clicked empty.mdb and open, I was hit with the error message:
And then when I hit OK, MTGPlay closes down.

What should I do?

you don't have the database protocols for windows installed that the program needs to run.
Go to:
http://www.mtgplay.com/
Click on Help and Resources and download the appropriate MDAC file for your os.

What OS?

Automaticn errors usually have to do with the MDAC components.

Thanks Nanodave.

As a note, the link to these is also found in the Downloads and Instructions post.