CHAIN error

["Paul Breeze" <dmarc-noreply@xxxxxxxxxxxxx> (Redacted sender "paul.breeze" for DMARC)]

Dear Carl
I have just tried to run CHAIN to compose a book from a series of 
chapter files but I get an Autolt Error:

Lin 0 (File "D\XY4\CHAINX.AU3")

Error opening the file
Looking in the directory, there is no file CHAINX.AU3, only CHAINX.AX3 
(and CHAIN.AX3).

Help!

Best wishes

Paul