Download the current version of NeoLemmix.exe (if you use NeoLemmix level type) or CustLemmix.exe (if you use CustLemmix level type) and put it in the same directory as the editor. It should work then.
If not, check the NeoLemmixStyles.ini in the styles directory. It can be opened like a usual .txt-file. Then for each style type there is a "TESTEXE = ..." specified. This is the program the editor tries to run when playtesting the level.
PS: Another reason for me to start on an Editor manual