I'm going to go ahead and assume you run Windows.
When you have ScummVM running not-fullscreen, you can see the DOS-prompt window on your desktop that tells you some stuff that is going on with ScummVM.
What does that window say? It should give a clue what the ScummVM can't find exactly.
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By "the latest version of scummvm" you mean the Win32 ScummVM Daily Snapshot at the very BOTTOM of
this page right?
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My guess is that you renamed or copied the files wrong anyway

You do have "hide extensions for known file types" disabled in your file explorer, right? (tools>folder options>view)
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You DID copy all the files to the hard drive, right? You are NOT playing the game straight from the CD I hope.