Sounds like you don't have cdosys.dll registered on your machine.
Go to your registry editor (start, run, regedit) and look under HKEY_CLASSES_ROOT for CDO.Message
If it isn't there (i bet it isn't) look in explorer: c:\winnt\systm32\cdosys.dll.
If it's there, register it. From the command shell navigate to system32 and type in regsvr32 cdosys.dll. If it's not there, you'll need to get a copy of it. Installing MSOutlook, VB6 or any number of applications should install it. You can (i think) download a copy from Microsoft too.