Autocad wouldn't ask for something it didn't need. Check the drawing you are loading and see if it contains the shape file it says is missing, if it doesn't check if it should e.g. check linetypes and text style fonts. When you insert one drawing into another it copies over all the linetypes, layers, text styles etc. You may be inadvertantly importing a linetype or text style where the linetype or font, needs a shape file and that shape file is missing from the drawing you are inserting. Erasing the drawing won't erase the imported linetypes, layers etc.
Failing that there are 4 options :
1. Set up a drawing template that contains all the linetypes, layers, text styles etc you will need and use this as the default new drawing template. Purging once the drawing is completed is easier that continually loading something you haven't got. (highly recommended).
2. Throw the script away and use Lee Macs Steal lisp HERE to import your text style. (recommended)
3. Backup the script, then erase the last line, and run it. If the error occurs repeat, again erasing the new last line until the error doesn't occur. This will tell you where this is going wrong.
4. Add lines to your script to set the new text style as current, then purge the drawing of everything you don't need before running the lisp.
The problem may be in the lisp, but you haven't posted that so can't check it.
I am not one of the robots you're looking for