Go to Start Menu -> Control Panel -> Sounds, Speech, and Audio Devices -> Sounds and Audio Devices -> Audio Tab -> Sound Playback Advanced -> Performance tab -> Hardware Acceleration and set it to either 0 or 1 (Emulation or Basic).
If the problem persists then you may need a different sound driver in order to get the game to run correctly.
If this happens then you need to update your nVidia drivers on your computer. Up-to-date drivers can be found on the nVidia website .
Search for a file called Profile.dat and under properties uncheck "Read-only".
Try using the "Z" key instead. The keyboard controls for the game are Z, X, A, S, Q, W and the directional keys.
Run DoConfig and uncheck the checkbox on the top-left labelled "Use Gamepad". Now click "OK".
Make sure you have talked to all of the Koron/Colon again (the Mimiga raised by Curly) and then talk to the puppy again.
This glitch can occur after viewing the map in the outer wall while playing the WiiWare release of Cave Story (this may be limited to the initial US release as the bug may be fixed in later releases). To solve this problem refrain from using the map while you are climbing the outer wall.
Right-click on Doukutsu.exe, select properties, click on the "Compatibility" tab, tick "Run in 640x480 resolution", and hit OK. Do not have this set if running the game in windowed mode.
Cave Story is a little less than tolerent of unicode folder names, so whatever folder you placed Cave Story in it is likely that either that folder or any of its parent folders may have a character or two that Cave Story disagrees with. When in doubt stick with standard ascii characters. The other cause for this error is if the data files can't be found. Check that a folder called "data" exists in your Cave Story folder, if it doesn't exist then you may need to download the game again.