The most likely problem is that one of your saved wolves has an empty name. To fix that, find the folder with your Wolf files, here:

[YourUserDirectory]\Documents\WolfQuest\
      (Or something like that -- might be different depending on Windows)

Inside that folder you should see folders named "Wolves", "SinglePlayer" etc.

Open the Wolves folder and look for a file that doesn't have a proper name, just ".wolf" Click on it and give it a filename. Then run the game again and it will probably work.