Hello,
perhaps you have some old registry keys left from an obsolete GS installation. It could be for instance
HKEY_LOCAL_MACHINE\SOFTWARE\AFPL Ghostscript
But recently another user had a simlar problem where the registry was obviously ok. For such cases the next release will allow users to specify their GS location in the settings dialogue.
Until then you can still export to PostScript and use GhostScript to convert to PDF. That's actually what WinFIG is doing. If you use GSView as a front end, it's very easy.
btw, it's always helpful for me to know the system environment (XP, Vista, Win7 etc.)