I got the same issue as you because we are new in the ETC world!
You need to download and run an ETC node from https://ethereumclassic.github.io/
I recommend Parity because Geth version got stuck many times while synchronization.
After installing Parity, don't run it right away and disable ptray.exe from Startup (it is used for Ethereum).
In cmd windows:
cd C:\Program Files\Ethcore\Parity
parity --chain=classic    //this will synchronize the blockchain, it took me ~ 9 hours
When the blockchain is synchronized, you can stop it (Ctrl + C) and run:
parity --geth --chain=classic
Now you can run Ethereum-Classic-Wallet-win64-0-9-1
You can check the blockchain at: C:\Users\USERNAME\AppData\Local\Parity\Ethereum\chains
Don't forget to backup your keys from: C:\Users\USERNAME\AppData\Roaming\Parity\Ethereum\keys

Good luck!