Rob,
That's strange - presumably it still works on your other test machines?
How about creating an in memory Bitmap first? e.g.:
Bitmap bitmap = new Bitmap(@"C:\ronnie.bmp");
Graphic g = new Graphic(new ESRI.ArcGISExplorer.Geometry.Point(-0.9, 52));
g.Symbol = Symbol.CreateMarker(bitmap);
Note n = new Note("Test Marker", g);
ESRI.ArcGISExplorer.Application.Application.ActiveMapDisplay.Map.ChildItems.Add(n);
Cheers
Mike