The dictionary files do not belong into the subfolder
Language, but into the subfolder
Dictionaries (the help file is wrong here!). The dictionary files are only for spelling corrections, not for the user interface of TeXnicCenter itself. You would need a DLL file (really!) suiting to your favorite language.
Instead of downloading from Apache OpenOffice Dictionaries you could also download from LibreOffice Dictionaries (in both cases do only extract with an archiver, the OXT files are actually zipped). If you already have installed one of these program suites you could also copy the needed files.
I got the error message frequently, too. So I created the empty file myself in this folder I set up in menu “Tools” —> “Options” —> tab “Spelling” —> “Personal”. I do not remember, if I’ve changed here anything or if I left the default setting untouched, because it is here
C:\Users\<my-username>\Documents\TXCUserDictionary.dic. When your username is actually
user, then I have the default setting, as well.
The program claims, it would create the file itself, but this does not happen. I would consider this a bug. But as far as I see, this was not reported until now in the bug tracker for TXC, see TeXnicCenter / Bugs.