You need CYF 0.6.5 to play this.
Getting the 0.6.5 version is important, as you may experience some errors if you play this game with another version of the engine.
Here's the link to get the 0.6.5 version. You can also find the link to it in the readme file in the download or in the install instructions here.
If you are still having any problems you can use this video as a guide to download CYF(though in the video it shows how to get the latest version of CYF, which right now is 0.6.6, so you would need to scroll a bit down to reach the 0.6.5 version and play this).