4.1 failure Error 'Can't find file:' but file not on master either!

[Zebee Johnstone]

I have a master, and 2 slaves. The master M and one slave A are both sql v4.0.12. Until this week, slave
B was also this version, but it's been updated to 4.1.8a.

I copied a nice upto date set of databases to it (via flush tables with read lock, and tar), started replication, and all was happy, until I get:

'Error 'Can't find file: 'sessions.MYI' (errno: 2)' on query. Default database: 'smartshape'. Query: 'INSERT INTO sessions (id, a_session) VALUES ('353001416b308059889ea24a5f3bf735','\0\0\0
353001416b308059889ea24a5f3bf735\0\0\0

Note that 'sessions.MYI' doesn't exist on the master, only sessions.frm sessions.ISD sessions.ISM

Slave A appears to be quite happy, and has got past the event in question if the Read_Master_Log_Pos can be trusted. It doesn't have a sessions.MYI either.

Any idea on where to look, what to fix?

Slave A is at the end of a very big pipe and is a much faster machine than either the master or Slave B, Slave B and the master have the same CPU but Slave B has less RAM, and is at the end of a slowish pipe.