It seems the banks cannot be found. Can you double check you generated your SoundBanks? In a Windows Explorer (or Finder) window, browse to your Wwise Project, and check the GeneratedSoundBanks folder. In that folder, you should see a folder named after your platform (Windows or Mac), each containing some .bnk files. Are they there?
If there is nothing there, make sure to generate your SoundBanks. In Wwise, go to Layouts > SoundBanks, and generate all your SoundBanks for your platform.