DOCBOOK: Struggling with PSGML

Hi all

I keep asking the most embarrassing questions. (At least, I find them
embarrassing.) Now PSGML won't start. It worked fine on GNU Emacs and
W95 last year. Now I'm trying with Xemacs on W2K. I open an sgml-file,
and as soon as the DTD should be read, I get a backtrace like:

Signaling: (file-error "Opening input file" "Permission denied"
"d:\\documents")
  signal(file-error ("Opening input file" "Permission denied"
"d:\\documents"))
  byte-code("..." [run-hook-with-args insert-file-contents-error-hook
filename visit err signal] 5)
  insert-file-contents("d:\\documents")
  sgml-push-to-entity("d:\\documents")
  sgml-cache-catalog("" sgml-catalog-assoc sgml-parse-catalog-buffer
"d:\\documents\\")
  sgml-catalog-lookup(("./catalog" "c:/usr/share/docbook/docbook.cat"
"c:/usr/share/docbook-dsssl/catalog" "c:/usr/share/sgml/catalog"
"c:/jade/catalog" "") "ISO 8879:1986//ENTITIES Added Math Symbols: Arrow
Relations//EN//" param "ISOamsa")
  sgml-external-file(("ISO 8879:1986//ENTITIES Added Math Symbols: Arrow
Relations//EN" nil . "c:\\usr\\share\\docbook\\") param "ISOamsa")
  sgml-push-to-entity(("ISOamsa" text ("ISO 8879:1986//ENTITIES Added Math
Symbols: Arrow Relations//EN" nil . "c:\\usr\\share\\docbook\\")) 2365
param)
  sgml-do-parameter-entity-ref()
  sgml-parse-parameter-entity-ref()
  sgml-check-dtd-subset()
  sgml-setup-doctype("book" ("-//OASIS//DTD DocBook V3.1//EN" nil .
"d:\\documents\\"))
  sgml-do-doctype()
  sgml-parse-markup-declaration(prolog)
  sgml-parse-prolog()
  sgml-load-doctype()
  sgml-need-dtd()
  sgml-parse-to(2)
  sgml-find-element-of(1)
  byte-code("..." [sgml-find-context-of sgml-find-element-of] 2)
  sgml-indent-line()
  #<compiled-function nil "...(9)" [sgml-indent-step insert-tab
indent-line-function] 1
("c:\\XEmacs\\xemacs-packages\\lisp\\psgml\\psgml.elc" . 23700) nil>()
  call-interactively(sgml-indent-or-tab)

Why is Xemacs messing about with c:/documents? What does it think should
go there? Where do I set it? 

Any help would be sorely appreciated. 
-- 
jean                                           . ... .... ///\\oo//\\\