Here is what I'm presuming
Windows XP
Puppy installed on Windows partition
pup_412.sfs inside /puppy412 directory (or similar)
If true and only if true
Copy pup_412.sfs also to C:\ (two copies)
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If it doesn't find pup_412.sfs, consider:
Posting back with plenty of details
and / or
consider the 'retro' version