SMS2 super memory stick for NDSI NDSL. But I wonder if that's the problem. The software doesn't seem to want to install properly. I'm running a windows laptop with XP. Any reason why it shouldn't run? Are the files I listed above all the files that should appear? I'm soooooo bummed out. 
I don't have this product , but hope this helps :
1.Download THIS :
http://www.neoflash.com/forum/index.php?action=dlattach;topic=6116.0;attach=24402.Extract the contents of the archive to some place on your X:\ hdd drive
3.Run the executable
Step #2 should fix the error that you reported ("Windows cannot access teh specified device, path, or file. You may not have teh appropriate permissions to access them.")
Since probably the path that you have extracted the application may contain wide character set.
Edit:
Another thing , if this doesn't work , then its definitely an issue with wide character set.
Probably the application is fetching the language settings of your OS and looks for that particular file in the language directory and because of bad handling(no conversion) it can't open the file.
So , another thing to try is to change the language of your OS...