I cannot get the first "walkthrough" in EIF help to
produce a log file.  After running
SimpleInstrumentation.exe I search the whole drive and
there is no TraceLog.log file.

I have this in TraceSessions.config:
<session name="TraceSession" enabled="true"
fileName="C:\work\TraceLog.log" />

TraceSessionManager.exe.config does not define that key.

When I run my SimpleInstrumentation.exe, it does indeed
produce an Info event in Application event viewer (but no
error event, so it is reading and parsing
EnterpriseInstrumentation.config just fine).

EnterpriseInstrumentation.config in the bin\debug entry
(where SimpleInstrumentation.exe is) contains this:

<filters>
 <filter name="defaultSoftwareElementFilter"
description=" A default filter for the Software Element
event sources.">
    <eventCategoryRef name="All Events">
       <eventSinkRef name="traceSink" />
       <eventSinkRef name="logSink" />
    </eventCategoryRef>
 </filter>
 <filter name="defaultRequestFilter" description="A
default filter for the Request event sources." />
</filters>

I'm on Windows XP SP1.

Doesn't seem like the first sample should be this hard. ;)