E037

Error

SEUT: Havok's 'hctFilterManager.dll' could not be found. Collision could not be exported.

The cause for this is a faulty installation of the Havok Content Tools.

Re-install havok and ensure that hctFilterManager.dll is present in its installation folder afterwards.
Ensure your export folder is not within your Documents or Downloads or other system-folders that may have special protections applied to them.
Ensure that your export path does not contain any non-standard (non-ASCII) characters. Unfortunately Havok cannot handle them.