Is this a new API KEY set or old? If old, you will need to go into apps.twitter.com and set / extract the CALLBACK URL and enter it into the program. Either as the global key callback url (if you are using global key) or account specific (if using account specific)* WARNING CANNOT AUTHORISE AS NO CALLBACK URL SPECIFIED
Due to a change in twitter.com the Callback URL of the API APP being authorised must be specified.
Please specify the CALLBACK URL to either the Global API APP details on the SETTINGS tab, or
For the custom API APP details on the account details form
If none of this makes sense, let me know how you created the API KEY (either manually or let the program do it ) and I can provide more indepth instructions