For the program to be able to speak messages you need to have a speech engine installed. If the 'voice' list in the settings window contains voices, you have a speech engine and messages can be spoken.
The program is compatible with the SAPI 4 and SAPI 5.1 speech engines. SAPI 5.1 comes with Windows XP and as far as I know has one voice installed: Microsoft Sam. This voice is not very good and others can be downloaded from the Internet at various websites. SAPI 4 is also supported because this speech engine is a bit older and a lot more voices are available for it, in different languages as well.
If you don't have one of the above speech engines installed, you can download them from the Internet: http://www.microsoft.com/speech. The downloads from this site are large and contain stuff you probably don't need. I don't distribute the speech engines myself for various reasons. However, the speech engines are also available at a lot of other sites on the Internet.