I've got the same problem - same message whenever I try to "record" action macros. So far I've got over it by copying the scheme files that I successfully recorded on my old system (running NT2000) to my new XP-Pro system. These can be found in "Program Files\Microsoft Hardware\Game Controller\Schemes".
However, I too would appreciate a proper solution - so am looking forward to learning whay I should be doing about it.
Incidently, there is a "shell32.dll" in the "WINDOWS\SYSTEM32" directory, so the message is a bit puzzling. I tried copying the NT2000 version onto my system (into SYSTEM, not SYSTEM32) but it made no difference.
