Occaisionally CoolEdit will come up with an error on startup saying that it has not been installed correctly. If removing it from Add/Remove Programs and then re-installing it does not help then there is one other thing you can try. Find the \"C:\\Documents and Settings\\<username>\\Application Data\" folder (where <username> is replaced by the currently logged on username) and delete the \"Syntrillium\" sub-folder.
When you re-start CoolEdit the problem should be gone.