I at least got it to play.
Nothing happens when I click "OK." The little box just goes away and Kaffeine just sits there. But if I hit play again it will play. Now if I press stop and play again, it tells me that the file at /media/hdd can't be found. Then I have to quit Kaffeine and restart it, go through the same thing as mentioned above, and it will play again. It's a little quirky, but at least it's playing, so I'm cool with that.
Thanks for your help!