First things first, PCSX2 is now at version 0.9.6, so you will want to get this version as 0.9.4 is rather out of date. 0.9.6 will have slightly outdated plugins, so you will have to get the latest ones from the official PCSX2 forums.
Second thing, you will need to update direct x runtimes in order to run the emulator properly, as it requires these files to engage the plugins.
As to why you have this error, you might not have the right plugins in the plugin folder, or your direct x files are critically out of date, preventing you from using the plugins.
Hope this helps.