Check the "C:\Program Files\xLights" folder. It should look like the listing below. If not, try uninstalling xlights and then re-install it.
Matt
Directory of C:\Program Files\xLights
06/22/2009 09:42 PM 43,008 libgcc_s_dw2-1.dll
03/29/2010 11:37 PM 35,147 license.txt
11/28/2009 02:12 AM 19,763 mingwm10.dll
05/26/2012 10:36 PM 1,572 unins000.dat
05/26/2012 10:36 PM 720,670 unins000.exe
04/28/2012 04:01 PM 22,075,969 wxmsw293u_gcc_custom.dll
05/20/2012 03:41 PM 702,976 xConverter.exe
05/22/2012 11:26 AM 781,824 xMenu.exe
05/20/2012 03:36 PM 1,361,920 xScheduler.exe
9 File(s) 25,742,849 bytes