I installed Winter is Coming: Cloaks, and in Wrye Bash I get a message saying that the master file for 1nivWICSkyCloaksPatch.esp is missing, and the check box is red.

Right above it is 1nivWICCloaks.esp and it is fine. Should I continue anyway? Should I disable the red one? If I do that will Winter Is Coming Cloaks still work? I need it for Frostfall.

1nivWICSkyCloaksPatch.esp is a patch file for another mod called http://skyrim.nexusmods.com/mods/12092//?. If you haven't installed this one, you simply don't need the esp. Leaving it installed and enabled will lead to a CTD right before the main menu.