If you are using Windows Vista you should go to the WinUAE site
and download version 1.4.0 or newer before running the emulator. Copy the WinUAE.exe to AmiKit\WinUAE\ directory.
Also Windows Vista may give you some problems due to its strict policy about altering files inside the Program Files directory. To avoid this it might help to use the file explorer and select the Program Files/AmiKit folder and change the permissions (both from the main properties page and under the Advanced section) so that all processes have full permissions to the AmiKit folder and subforlders.