The following error appears in WPM:
A program running on this computer is trying to display a message.
All WPM versions
This is prompted by Windows Interactive Services Detection, which is normal behavior for WPM. When WPM runs transactions in the player, it really uses the full window UI to host the Web browser. However, it runs in service session which is normally invisible. If you have a certain computer policy set, the Interactive session message appears whenever WPM opens its window in service session.
Go to Windows services and disabled Interactive Services Detection. Refer to the Microsoft community page Disable the Interactive services dialog detection window?