Another point that may be the problem.If you have renamed folders for the last set of data files used, then this may be the problem. If so you may not be able to get into any set of data including the sample data.
Solution: In windows explorer, open the C:\Windows folder. Look for the file FNWIN.INI. Open it with notepad or some text fle editor(wordpad, etc). Search for the line "RecentFile1=X:\xxxx"
Delete this line and the other lines with "RecentFile2="- "RecentFile9="
Save the file and exit notepad.
Now try to open FN.
Did this solve your problem?
Are you running Windows 2000?
Where was "RecentFile1=" pointing to?