Did you use the Sierra.com or the Template.com interpreter when it told you to locate it the first time you tried to run your homemade game?
I can't run Voodoo Girl with my version of Sierra.com, it's as simple as that. Probably the wrong version number. So, when AGIStudio asks me to locate Sierra.com to run my game, I choose Template.com instead, and voila! the game runs without any problems.
I don't know if this also works with NAGI or any of the others, but it should.
I should also note, I'm using AGIStudio 1.34.