My error: (Related to topic, maybe not the OP's problem).
ERROR: Data directory C:/Documents and Settings/Administrator/muldata/ does not exist
The guide states that launching from the command line was a good idea, the problem is that if you don`t launch from withing the UOX folder, it won`t find the "relative" paths. IOW, don`t past the direct path to UOX.exe into cmd. (btw, setting full paths in the ini didn't work either, so this seems like a crucial step..).
Soloution (for me anyway). Manually navigate into the UOX folder (with cmd), launch UOX.exe
CommandLine input: (working directory> prompt)
The WRONG way:
C:\Documents and Settings\Administrator>"E:\Program Files\uox\uox3.exe"
(Produces my initial error)
The RIGHT way:
E:\Program Files\uox>"uox3"
--
and..
Missing mul data, in UO folder, can be because of missing 2D client. IOW, not the correct version of UO (UOKR maybe, must have older versions). I learnt this the hard way

(Found the clue on the board, should of been in the guide?).