You forgot to set up the event so that the Sub Check runs on page load, like so:
<body background="c:\mount\windows\system32\aopentools\Images\MSCBG.bmp" onload="Check">
Edit
Error free implementation of the Sub Check method:
Sub Check
' Creating objects
' ==========================================================
Dim oFSO
Set oFSO = CreateObject("Scripting.FileSystemObject")
' ==========================================================
If oFSO.FileExists("c:\users\jgainey\desktop\test.txt") Then
BeginImage
Else
MsgBox "An Error Has Occurred" & vbNewLine & "EC03: Test.txt" & vbExclamation & "ERROR"
Window.Close
End If
End Sub