The error came right after the game was launched. After closing the message, the game window closed. I was using PlayOnLinux to be able to run the executable on Linux. I'll try getting a virtual machine set up for it to run on Windows. PlayOnLinux sometimes doesn't work.
The fmod.dll file is in the same folder. I clicked on the fmod.dll file and then the executable, and all of a sudden it started working :D! I will start testing.
NOTE:
I just updated my operating system, so perhaps that has something to do with it.