Did you do a partial install then come back and do a full install? You will need to uninstall the old copy first then remove the old folder where it was and then do a reinstall.  If you do not remove the old folder the uninstall does not remove all of the files in the old folder and if it leaves the scenery cfg file from the old folder there and you install right on top of the old folder FS2002 will not rebuild the scenery cfg file and it will still look for the scenery on cd. I would almost bet this your problem.