What you’re seeing is completely normal. That happens every time you
boot into HBOOT. The phone is looking for files with specific names (the
green messages) and letting you know they aren’t found.

The only thing you need to go into HBOOT for is to properly install the
drivers
(http://unrevoked.com/rootwiki/doku.php/public/windows_hboot_driver_install).
Once the drivers are installed you can reboot and run unrevoked.

Once you install the drivers you can reboot the phone and run unrevoked.