I think I've sussed it:
The description of FollowHyperlink says that it opens the file from the
cache, or if it isn't in the cache it downloads it to the cache.
The download works, because the filename is less than 250 characters.
Adding the extra characters for C:\Documents and Settings\MyName\Local
Settings\Temporary Internet
Files\Content.IE5\ZEK7Z9S1 makes the file path too long for Windows.
Why Windows allows a file to be saved with a path that is too long for it to
be retrieved is beyond me.

Thanks for your help.
--
Steve Franks