Hi! Had the same problem and spent an afternoon to find out that I had old Emacs 21.x entries in the registry at HKLU/Software/Gnus/Emacs which were pointing to the old Emacs 21.x path. After installing with the NTEMacs installer the path was different, but Emacs got confused by this old registry stuff. No idea if it's the same problem with your installation though....
Stefan
