Meshes\AM\AM_Cough.nif is part of Animated Morrowind. I guess you have another mod that uses those animations, have a check through your readmes. Alternatively search your Data Files folder for files containing "am_cough.nif" (you can use something like Wingrep or Inforapid Search & Replace).
As to the "no animation class" error, were you lowering the distant land draw distance or the view distance on the Misc tab? It's the latter where the problem occurs. Also, people who use FPS Optimiser with view distance set too far can get the error.
Looked all through out my Meshes folder and didn't find anything by that name.
I've lowering the draw distance on the "Distant Land" tab and even turning it off. No luck.
I've tried different numbers on the "Max View Distance". Lowered it to 50, 25, then 5. No luck once again.
This is really annoying me now. I can't get anywhere near Tel Mora cause of this one NPC. It says that it has no animation. So if I were to install the Animated Morrowind and over write whatever it requests then should it not fix this problem? Or will it just make more?