Finally sorted it!!
During the setup I tried changing the ISO folder" to the folder where the msi file had been saved. And it all then went ahead and created the rescue disk
Have to say ESET, the instructions for this process are beyond belief.
Firstly I had to spend hours hunting and searching, to discover that because I had a 64 bit system I had to download a 32 bit file. Why on earth was that not made evident in the error messages.
Then, having downloaded the 32 bit msi, it was not made clear that I needed to set the "ISO folder" to the one with the msi file.
I've used NOD32 for some years and am now very disappointed in this poor service quality.