I have tried to setup a masternode but when I am trying to start the masternode I am getting the error message "can not locate [whatever - I don't remember the exact word]". What could be the reason?
You should to get status 9, it can include error message, it's a normal. MN gets status 9 after 15 confirmations.
I don't know what "status 9" means - You mean there is no way to setup a masternode before coinns have 15 confirmations? In the past it seems I have beenn able to setup masternodes quite fast.