This error message appears when a user attempts to load or process a dataset that WEKA can not handle with the used heap size. The Java heap size can be specified with the -Xmx option. Let the classpath that contains a JAR file (weka.jar) be:
C:\Matlab\weka-3-5-7\
E.g., to use 256MB as heap size, the command line looks like this:
C:\Matlab\weka-3-5-7>java -Xmx256m -jar weka.jar