Did you make sure to install the mini setup you downloaded in the exact same folder of your old installation? The sprite shadow stuff usually appears when the client is unable to find the sdata.grf. If you installed the mini setup to a different folder, just go to the old folder, and move its sdata.grf to the new one.
The palette error is unrelated to that, and comes from the Windows 7 32-bit problem. Usage of anthem_win7.exe will get rid of it, however, no clothing dyes.
The unpack error appears, yes, and it appears for everyone. Simply ignore it, it works either way. Besides, it's only the BGM for the Christmas event which just ended.