Hey,
Where did you put the executor at? The program you use to play HeRO, and everything you've downloaded from the download section, needs to be placed in your Ragnarok Online folder.
Start > Run > Type in "C:\program files\gravity\ro"
You are now in your RO (Ragnarok Online) folder, extract OctoberHERO.zip, and put in the Data.ini, HeRO.exe, HeRO.grf inside. Now you can atleast open it up! Whooo yeah.
but that's not all.
What version of kRO and Sakray are you using? You need to download the newest kRO. Do not download iRO, or any Ragnarok Online downloads with Sakray in it! You must download the newest kRO, and Sakray too!
Because most executors are custom maded for each private servers, your gonna need kRO and Sakray. Custom executors such as HeRO.exe only work when your kRO and Sakray are fully patched up, or in other words, fully updated.
kRO is Korean Ragnarok Online. Your gonna need a proxy from Korea to download kRO from the offical korean ragnarok online website because
http://www.ragnarok.co.kr/ has some program that only allows people in korea to download.
http://iro.ragnarokonline.com/, International Ragnarok Online, provides it's set-up download with Sakray in it. Like I mentioned, customized executors like HeRO.exe(you use this to play HeRO) does not work with anything else, except kRO.
If it still doesn't work, please make sure your kRO and Sakray are fully updated. That error only pops up when there's something wrong with your Ragnarok or Sakray. It most likely says it cannot read your downloaded game(not the HeRO patch).
Hope this helps.
...and then, to you I'd say "Tough times don't last, tough people do.".