Ultimately, this turned out to be a combination of two problems:
Not running as administrator.
The data file referenced above had a path specified in a configuration file, but the path was relative. When CLRProfiler launched the application, the working directory remained that of the profiler instead of being switched to the application under analysis. Since I was running unprivileged, the failure to open the data file was actually manifested as an
UnauthorizedException
because the application did not have permissions to root around in the folder where the profiler was installed.
After correcting both of these (the first by running as administrator the second by changing the config file to use an absolute path), the issues disappeared.