Perhaps you should include in that message something to the effect that the track will still load, but may not sound as the composer intended -- in other words, make sure the user knows it's not a critical error.
Oh, and I think that making the default button "No" would also be a good idea.
Edit: And while I'm at it... Perhaps see if you can make the KVR link clickable.
Edit: OK, last edit, I promise. Perhaps offer to search for the plugins manually -- either by using a file-open dialog (for each individual plugin, or if there's only one plugin) or by scanning a directory chosen with a directory-selection dialog.
