If you haven't already done so, download the UCAC4 stellar catalog and the all-sky image link database. The former can be downloaded from me. The latter can be downloaded from bisque.com in their downloads area.
UCAC4 stellar catalog can be downloaded here:
http://1drv.ms/1rQBJdq
Then go into TheSkyX->Input->Database Manager->Stellar Databases.
Unzip the ZIP archive file linked to above into a folder and check to see if it contains the two ucac4.plot and ucac4.subset.plot files.
If the plot files are missing from the folder, then you'll need to create them from the data files. You do this by highlighting UCAC4, then clicking on Advanced over on the right, Choose to select the folder, then click on Create. Wait awhile while it builds the plot files.
If the plot files are already there or if you have just created them, then you need to tell TheSkyX where that folder is and it'll find the plot files and all the data files. You do that by highlighting UCAC4 then clicking on "Choose Folder" at the bottom.
Then clear the checkmarks for UCAC2 and UCAC3 and check the one for UCAC4.
Note that you need to keep the data files. The plot files give you the stars, but the data files are needed for object information.