I found this in the MSDN library. It's not exactly your problem, but sound 
like your problem. May it helps :)

Good luck
Boris


Error Message: Cannot Find the File <Folder>... 
ID: Q186149 


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The information in this article applies to:

Microsoft Internet Explorer for Windows 95

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SYMPTOMS
If you are using Program Manager (Progman.exe) as your Windows shell, and 
you attempt to use the Run command on the File menu to access a folder on 
your local hard disk or on a shared network drive, you may receive the 
following error message when you click OK in the Run dialog box 

Cannot find the file <folder> (or one of its components). Check to ensure 
the path and filename are correct and that all required libraries are 
available. 
where <folder> is <drive letter>:\<folder> if the folder is on your local 
hard disk, or \\<computer name>\<folder> if the folder is on a shared 
network drive. 

When you click OK, the folder you are trying to access is opened. 



CAUSE
This problem can occur if Internet Explorer 4.0 or 4.01 is installed with 
the Windows Desktop Update component. 



RESOLUTION
To work around this problem, use either of the following methods: 

Method 1
Change the Windows shell to Explorer (Explorer.exe). To do so, follow 
these steps: 
On the File menu, and click Run. 


In the Command Line box, type system.ini, and then OK. 


Disable the following line in the [Boot] section of the System.ini file by 
placing a semicolon (;) at the beginning of the line: 

shell=progman.ini 



Type the following line beneath the line you disabled in step 3: 

shell=explorer.exe 



On the File menu, click Save, and then click Exit on the File menu. 


Restart your computer. 


Method 2
Remove the Windows Desktop Update component. For information about how to 
do so, please see the following article in Microsoft Knowledge Base: 
Q165695 How to Add or Remove Windows Desktop Update 



STATUS
Microsoft has confirmed this to be a problem in Microsoft Internet 
Explorer versions 4.0 and 4.01. 

Additional query words: 

Keywords : kberrmsg winshell msiew95 
Version : WINDOWS: 
Platform : WINDOWS 
Issue type : kbprb 
Technology : 


> Hi,
> I can't seem to execute a shell command for an exe on a network drive.
> 
> J: is a mapped network drive
> 
> Shell("J:\sun32.exe", 1)    'does not work
> Shell("C:\sun32.exe", 1)    'works
> 
> Any suggestions or work arounds?
> 
> Any comment will be much appreciated.
> 
> Thanks,