I had the same problem to launch the CRM application. This happens due to incorrect installation of the Studio along with CRM application. From the package (downloaded during the course) install the CRM application separately and then while referring choose the CRM.exe from the installed directory. This solved my problem and I hope the same will do yours.
Can you please verify what version of Windows 10 you have installed. You can do this by opening the command prompt and entering 'winver'. If your have version 1703, then you have the Windows 10 Creators Update installed. There is a known compatibility issue with this version.
Clicking on that checkbox might not install the CRM application properly as this is a common problem and one of my colleague also faced same issue. As mentioned earlier try to install it one more time separately.
Yes, I installed the CRM App separately. I can launch the CRM App with no problems. The error only occurs when I start interrogation from PR Studio (even with other apps like notepad). Thanks for reply.