Err Msg 13l file not found

I am using MF Visual Cobol v 2.2. ( Personal Edition)

When my progam tries to open an input file, I get  "Error Msg   -----13     File not found"

This input sequential file (.dat extension)  is created in Net Express 5.1. 

Is this because of compatibility issue between Net Express and Visual Cobol v 2.2 ?

OR is there anywhere I have missed to create path for input file?

Thanks

Kumar