You can disable it if you want but it's good that you got that error. I got the same thing when I used the program. If you want to allow external commands just type in the following two commands:
It doesn't matter that the file is completely blank, it just doesn't know how to make the file itself, as long as it exists it'll write in it.
If you remove the line in the nagios.cfg about the command_file then it won't accept external commands and your nagios will start up just the same as if you had done those previous two commands.
After that run it again the long way to make sure there are no more silly little errors, and then you can start it as a daemon with the /etc/init.d/nagios script.