Did you try reinstalling it like the message said to? Perhaps some other app accidently removed this file. Even though your scanning and updating seem to work, other parts of Spybot S & D may cease to work properly, such as the TeaTimer or the SDHelper.
Also, I would highly doubt that you can fix this with MSCONFIG. Were you referring to the Startup tab entries? If so, the only reason Spybot would have one listed is if:
1. You have the TeaTimer turned on
or
2. If you ran a scan where Spybot couldn't remove anything, and you need to restart so that it can scan again on startup
In both cases, you would not want to turn these off via MSCONFIG anyway. You can turn off the TeaTimer in Spybot, and if you have a scan set for startup, you definitely don't want to disable that!
Let me know what happens after reinstalling Spybot S & D.