Sorry about the late reply, Easter Bunny got in the way. I didn't need to create the folder "C:\Users\JohnB\Documents\paint.net User Files\Palettes", it was already there. But nothing in it! I wasn't getting any error messages either.
So I did a search for Rainbow.txt on my computer. I found it in the admin palettes folder. Although I ran the install file from my user account, I had to give admin password to proceed. Somehow the other DLLs went to the right place, but for some reason the Rainbow palette went to the admin account. Copied and pasted into my palettes folder and works like a charm!
Thanks for your interest and reply which prompted me to look elsewhere for the palettes file.