I believe it was AutoCAD 2012 or 2013 that introduced a checkbox to always ignore this error, for earlier releases there are four basic options available:
1. Get the missing .SHX file
2. Create the .shx file that AutoCAD is asking for (you can simply copy the linetype.shx file from the LISP routine posted earlier and rename it)
3. Use the LISP routine earlier
4. Put up with the dialog box all of the time
All four methods involve opening the file at least once to find out which file is needed.
There is a 5th more advanced option and that is to get a program that automatically closes dialog boxes for you, such as:
Buzof - See
http://www.pcworld.com/article/232412/buzof.htmlThis doesn't prevent the dialog box from appearing, but it will close it a soon as it shows.