For a week or two now, when I go to open files I sometimes get message along the lines of 'Could not find file filepath . '. Click the file again and it opens. This appears to be totally random when it happens. Also I think that its just image files it happens with.
Is it Windows ME being totally annoying or a more serious problem such as HDD failure etc. (However, it isn't just files on the HD that this happens).

Any ideas?

It may be a sign of a corrupted file allocation table (you have two copies of these :) ) - I had a similar problem, and after a few weeks, I lost my HDD :eek:

However, I don't know enough about these issues to be sure...

How can i find out if this is the case?

You need to check you HD for errors.

We have a HOWTO for this, located as a thread in this very Forum:

http://forums.civfanatics.com/showthread.php?s=&threadid=24980