path problem in matlab


I am new and this may be a new bee question but..

I have recently installed R2007b. When I open an M-File and try to run it, it gives me an error and says the M-File is not found is not found in the current directory or on the matlab path.

Now the current directory shown in the main window is
"C:\Documents and Settings\Administrator\My Documents\MATLAB"
and the location of the M-File I try to run is exactly the same!!
"C:\Documents and Settings\Administrator\My Documents\MATLAB/2.1.m"

I used File->Set Path to add it to the directory to make sure it is fine.

When I press "Change Directory" or "Add to path" the m file seems to work but I fed up with the error. If you can please tell me how to get rid it I will be happy. Thanks in advance