That screen set SHOULD be installed as part of Mach4. Do you see that file if you look in your "C:\Mach4Hobby\Screens" directory? Presuming that you installed Mach4 in the default location. If not, replace the "Mach4Hobby" with whatever directory you installed it in.
For example, in my fresh version 4612 install I see these screen sets:
- Blank.set
- Engrave_Marking.set
- wx4.set
- wx6.set
- wxLathe.set
- wxPlasma.set
- wxRouter.set
- wsTangential.set