Sappy often displays an error that it can’t locate a file called “VbalCboEX6.ocx”. This tutorial explains how to rectify this error.
I give full credit to gogojjtech of the PokeCommunity forums for this solution, and might even link you to his tutorial because it’s amazingly extensive.
(edit: as of 30/4/2017 most of the youtube links and images in the tutorial are broken so it is almost worthless. for archival purposes I am keeping most of this post intact.)
To get Sappy to work, run the installer first. After using the installer, replace the sappy.exe that it gives you with the one from the 2006 mod 15 zip, and then Sappy will work.