I have the same problem. It started some time after I had installed EQ6 (not immediately) so I had just assumed that it was not an EQ issue and left it at that.
In my case if I double click a PJ5 file - not found message you are getting
If I dc a PJ6 file - it opens in EQ6
If I right click a PJ5 file and select open with EQ5 - no joy, not found message again
If I right click a PJ5 file and select open with EQ6 - PJ5 files open in EQ6.
That started me wondering if it was an issue between EQ5 and EQ6. But either way, I have to open EQ5 and search for my files from there, or I have to use EQ6 (and convert all files to EQ6 format - probably not so bad now they have addressed some of the issues they had back when it was firts released).
Many of my EQ files are very detailed applique designs, and EQ5 was far more "forgiving" about stray lines in blocks. So I often had lines to mark block centres or diagonals on my EQ5 files. If I try to open them in EQ6 I get error messages and I have to go through every single block and version to remove the "unclosed shape" before I can use the file in EQ6. There were some nice things about EQ5 that I miss in EQ6.
And I still HATE their limited installation system (I have used all mine already!!). If they really wanted protection against piracy - perfectly understandable - why couldn't they have introduced a USB dongle like the one I have to use for my digitizing software?
But I digress, and I promised not to rant anymore about EQ6 and it's "issues"
I hope you get an answer, but in the meantime - would you mind converting all the EQ5 formats to EQ6 as you open them? I won't change mine because I want to keep some of my marking lines, but if you have mostly pieced designs that might not be an issue.