I too have this problem. I installed GUIMiner and set all the settings I could think of. However, I am not using a GPU to mine — not just yet, anyhow. Let me get this working with the CPU first; the software indicates that that's possible (though not necessarily effective).

Here's the console log:

2012-11-05 10:49:29: Listener for "Default" started
2012-11-05 10:49:30: Listener for "Default": Traceback (most recent call last):
2012-11-05 10:49:30: Listener for "Default": File "poclbm.py", line 3, in
2012-11-05 10:49:30: Listener for "Default": File "BitcoinMiner.pyo", line 11, in
2012-11-05 10:49:30: Listener for "Default": File "pyopencl\__init__.pyo", line 3, in
2012-11-05 10:49:30: Listener for "Default": File "pyopencl\_cl.pyo", line 12, in
2012-11-05 10:49:30: Listener for "Default": File "pyopencl\_cl.pyo", line 10, in __load
2012-11-05 10:49:30: Listener for "Default": ImportError: DLL load failed: The specified module could not be found.
2012-11-05 10:51:33: Listener for "Default" shutting down

In case anybody asks, yes, I did set the path (in Solo Utilities / Set Bitcoin client path) to point at my Bitcoin install folder.

I've found the learning curve to get to this point rather steep, but I guess that just mean that fewer people will be sharing the bounty of newly mined Bitcoins. So I can live with the difficulty up to a point. First, though, I have to get it working in some form!