Missy, the error message is generated by the plugins.php, which includes the following lines of PHP:

if ( ! file_exists(ABSPATH . PLUGINDIR . '/' . $plugin) ) wp_die(__('Plugin file does not exist.'));

This means that either ABSPATH or PLUGINDIR variable is incorrect. However they were set during your WP setup. Have you changed the host since the first installation of WP?

Have you had similar problem with other plugins?

If other plugins are working fine, then what FTP software are you using for transferring the plugin files, and what transfer type (ASCII, Binary or Automatic) has been set? Automatic or Binary are the suggested (more about FTP transfer types).