What version of Mach4 are you running?
At least up through build 4300, there that screen set should exist. Presuming you installed Mach4 in the default directory, if you look in the c:\Mach4Hobby\Screens directory you should see a handful of files, including "wx4.set", "wx6.set", "wxLathe.set", etc.
If you don't see those, your Mach4 install may be corrupt. You can try re-installing Mach4 and see if the files appear.