It seems to me like you're missing the 'megahal.trn' file from your bots 'main directory'; that being the root folder of where your 'eggdrop *.conf' file and 'scripts' folder etc.. is located.
You can download this file, it should be in any megahal archive that you find. Make sure you get the right version, the same version of the megahal you're currently using.
If I recall correctly the 'megahal.trn' (training) file is for giving your bot something to say when you haven't got a 'megahal.brn' (brain) file yet, the brain will combine all the words/phrases from the training file with its current brain, if there isn't a brain there, it should create one.