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Thankfully, it is a relatively straightforward task to resolve the error.
Simply click on OK to close the error dialogue box and find your Join a Workgroup icon. This is usually found in the X folder, although it is a good idea to send a shortcut to your desktop for future use. You can do this by finding the icon, right-clicking and selecting Send To > Desktop (Create Shortcut).
To join a workgroup - which is applying the information stored in your System.MDW file - click on Join.... You are then required to browse for your System.MDW file, which can be typically be found in the same directory as your Access 97 application database.
You should then be able to open your Access 97 database without any further problem.
Note however that the Join... process must be followed whenever you open Access 97 following use of a later version of Access. Later versions of Access retain and read their System.MDW files in a different way to old versions, thereby resetting the process.