Missing .dll is an error that can occur at the first launch just after the installation of JenRx. The type and number of the .dll files vary depending on the computer.

PHP-CGI.exe – System Error: This program can’t be started because …dll is missing from your computer. Try reinstalling the program to fix this problem.

This error is due to the outdated Windows Operating System on the computer. So, update the Windows OS, restart the computer, update the Windows OS again, and continue as such, until there are no more new updates to be installed.
Check out this guide to learn how to update the Windows OS: Update Windows – Microsoft Support