Created Package - Can't access SETUP.LST

[dja1]

I have created a package using the Package and Deployment wizard.
When I try to run the Setup.exe, I get the following message - "Could not open the file named ......\SETUP.LST".
There is obviously some sort of "lock" on the file, (which definitely exists in the same folder as the Setup.exe), because when I change the name to "SET1P.LST", I get the following message "Setup cannot find .....\SETUP.LST"
I can access the SETUP.LST file using Notepad, and have rerun the Package wizard, after deleting the target folder.

Any suggestions ????