Reinstall Problem: Blkindex.net

[joechip]

I used to run Bitcoin but deleted it for unknown reasons.  I'm trying to re-install it and cannot get it to load.
I keep getting 'can't open blkindex.dat' This makes sense as there is no blkindex.dat file anywhere on my machine.

Obviously there is something wrong but hell if I know what it is.  

I'm running winXP if that helps. 

Thanks.