It almost sounds like you've not used Notes as a standalone program on the machine you're testing here. When you set it up (i.e. add your user name & password), it creates a NSF file, and remembers that location by setting a registry key. That's the database it's asking for, I think.
(Caveat: It's been a LONG time since I used Notes!)
And yes, I remember you Pete. Things are good in sunny SoCal. How are you these days?