The index folder and its contents will be created the first time you do a search as long as the Data folder is writable by the asp.net worker process. I mustt have permission to create this folder and write files to it.
On a default installation of Win 2003 server the user that needs permission is the IIS_WPG user whereas on xp its aspnet_machine name.

Since this error is happening in your custom code my guess is your custom code is trying to access the index before it has been created. Try doing a search first, then verify if the index files got created, if so then try your custom code after that.

Another things to be aware of if you are working from a Subversion repository you do not want to include the index folder in svn because it will add a hidden folder named .svn in the index folder and this will cause the search to not work.

Hope it helps,

Joe

The reason I thought you were working with your own code is because you said "but came up with no solution for my own code"

Joe