0 The operating system is out of memory or resources.
ERROR_FILE_NOT_FOUND The specified file was not found.
ERROR_PATH_NOT_FOUND The specified path was not found.
ERROR_BAD_FORMAT The .EXE file is invalid (non-Win32 .EXE or error in .EXE image).
SE_ERR_ACCESSDENIED The operating system denied access to the specified file.
SE_ERR_ASSOCINCOMPLETE The filename association is incomplete or invalid.
SE_ERR_DDEBUSY The DDE transaction could not be completed because other DDE transactions were being processed.
SE_ERR_DDEFAIL The DDE transaction failed.
SE_ERR_DDETIMEOUT The DDE transaction could not be completed because the request timed out.
SE_ERR_DLLNOTFOUND The specified dynamic-link library was not found.
SE_ERR_FNF The specified file was not found.
SE_ERR_NOASSOC There is no application associated with the given filename extension.
SE_ERR_OOM There was not enough memory to complete the operation.
SE_ERR_PNF The specified path was not found.
SE_ERR_SHARE A sharing violation occurred.

Что-то из этого, скорее ERROR_FILE_NOT_FOUND, а конкретное значение получить можно в заголовочном файле VC++ или BCB SHELLAPI.H