Thanks John. This is what I've done. I hit "start", and selected "search/for files and folders". Then typed "exe" into the "search for files or folders named" box. This brought up a whole bunch of things, two of which had teddy bear icons. One of them says SETDEBUG under it, and the other says JDBGMGR under it.

Can I assume that the one that says JDBGMGR is the one I want, and the fact that I found it with the search I did means it's still where it belongs?