This is a very old problem that is still with us (Puppy Linux cannot boot and http://www.murga-linux.com/puppy/viewtopic.php?t=84558 are 4 years old; an 8-year-old posting exists).
There are many solutions posted and none of them work for me. In my case, I'm trying to boot to a live USB flash drive of Tahrpup (tahr-6.0.5.iso) installed on the flash drive using a Windows computer by running unetbootin-windows-657.exe. All software is 32 bits, and the USB drive is 8 GB formatted FAT32. The target computer is Asus HE1000 with 1 GB of RAM and around 200 GB per disk partition. Creation of the live Linux Puppy flash drive was done on a Windows 8.1 computer.
When booting, the "sfs file not found" error message happens no matter what "solution" I find on the Web that I try. And alternate boots switch between Windows XP on the C: hard drive and puppy on the USB flash drive no matter how I set the BIOS, so the power button has to be held down for a long time twice for each boot of puppy. So frustrating; need advanced help.