Could you post the exact wording of the error message? I have never seen one that literally says "wall climbing mini game" so I am a bit confused.
Deleting files will probably not help, as all files need to be present and valid for the game to start. Messages somewhat like that usually appear when you forget to install the "Path of the Shell" add-on; did you do that? Also, there are quite a few different ways to buy Uru these days, I recall either the Steam or GoG version had problems but I am a bit foggy on the details... where did you buy your copy of Uru:CC?