Did you make sure the directory you created is all lower case? It makes a difference in linux. Actually check it via the command line, don't rely on windows explorer, as it sometimes just displays the case however it feels like doing it (in fact, setting up your screensavers this way avoids all the problems others have with these "hidden" files being copied in, as DOS doesn't do that to you, whatever you want to call DOS on your particular OS).
I'd avoid names with spaces in them, also.
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