I can't find the file named `record'!

Record names are not file names; they are components of file names only. For example, three files belong to record 100s: 100s.hea, 100s.dat, and 100s.atr. There is no file named `100s' belonging to record 100s. See annot(5), header(5), and signal(5), in the WFDB Applications Guide, for information about file types and formats.