Your problem seems to be MS-DOS filenames. In both of your pictures, the filenames seem to be truncated to PC-DOS standards (in the first image, your Installer is named INSTAL~1; in the second pic, all files in the CannonFodder1 dir seem to have the PC disease of all uppercase, 8+3, and the classic ~1 truncation value used by Windows to maintain it's longfilenames).
You must be transferring your files in zips, or extracted from their lha/lzx source before they get to the Amiga end or something. Only expand these archived files once they are safely on the Amiga. It seems that the file cf.slave will never be found since it's probably now named CF~1.SLA
EDIT: D'oh! Echo beat me to it (sigh)...