The error message is a bit outdated, it should say you need Chapter 1-4, but it points to the same thing that you haven't patched the game.
- Copy all the files from the 5-6 folder into the 1-4 folder. If you're asked to overwrite a bunch of files, you've done it correctly. Otherwise, you haven't.- Copy all the files from the 7-8 folder into the 1-4 folder. Same thing with the overwriting.
- Run the Chapter 1-4 game (which now has been patched with the 4 last chapters)