Run macro error message.

I have a school assignment for mold design that I am running into an issue on. There are parts and assemblies that I need to download from DME.com. I download them then extract the files (.swb file). When I go to SolidWorks to run macros I get this error message "Microsoft Visual Basic Run-time error '91': Object variable or With block variable not set". What gives? How do I make this work?