You need to have at least one language installed on your OS that supports speech recognition (I recommend English). That is why you are getting an error (in the future VC will give a better error
).
If you have windows ultimate, (or some other versions of windows), you can download language packs.
Languages that support speech recognition are: English, French, Spanish, Chinese, Japanese, and German.
If you can't download language packs with your version of Windows, I have heard of hacks that will allow you to do it. I have not tested these hacks, nor do I officially support them, so I cannot help you with that. Sorry.