From your post it is not clear, to what project does report file an00480l.frx belong. Are you sure, it is annuity.pjx?
Also, if you call annuity from another application, then annuity.PRG must be NOT included in another project. Also check for compiled annuity.fxp in the default path. It should be removed from there.

>>>>>>>>>>>>>>>>>>>>>>.your message below>>>>>>>>>>>>>>>>>>>>

Neither of these seem to be the case.

The app is called 'annuity.app' and the report is called 'an00480l'. In the project I can see the report 'an00480l' and modify it. I also looked in the project information and it has an X under included. When I step through the annuity.app where I call the report it says 'Report form an00480l preview' and as soon as I step it gives me the error 'File does not exist'.

I found a way to get around it temporarily by setting my path to the directory where the report exists. But, that does not work if I don't have the actual report on the drive.