This exception is typically caused by not being able to find the text message file, or the message string within the file.
The article describes a text message file. Make sure you have this file where J-Link is expecting it (based on the protkdat file entry). Make sure the subfolder within the text directory represents the language your ProE is setup to use. Make sure this file has the contents that the J-Link app is expecting.
Send me an email if you're still having problems with it.