Hi rayj. You don't say what version of Windows you have, but I think the missing file is shlwapi.dll. In Windows 98 this should be in the C:\WINDOWS\SYSTEM folder. You can get the file from here click here. There is a long discussion about this file at this site click here, where it appears that replacing the file can be troublesome, so I hope yours is easier.
I got this yesterday when trying to load an old image of 98se,I didn't get the shlwapi.dll missing message tho',just a white box with EXPLORER.EXE missing,reinstall windows.It would boot in safemode tho.