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It doesn't even close the popup when you click OK with that selected? The first thing I'd try is exiting and re-starting the game - if you've returned to the start screen with a game already underway, sometimes the setup will behave a little oddly, but the restart will always fix it.
If that's not it, my suspicion would be a corrupted or missing file somewhere; in that case, the best thing to do would be reinstall, or, if you're using the Steam version, right-click on the game in your library, select Properties, then the Local Files tab, and "Verify Integrity of Game Files."
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