Navigate to your PES 6 installation folder and open the folder. Run setup.exe as an administrator.

This is a very common issue when applying patches.

How to Fix the "AFS File Not Found" Error in Few things are more frustrating than settling in for a classic match of Pro Evolution Soccer 6

PES 6 relies on several core AFS files located in the game's dat folder:

Add your entire PES 6 installation folder to your Antivirus Exclusions/Exceptions list. Summary Checklist Files are in the dat subfolder. Registry path matches the install folder. Kitserver is correctly attached. Running as Administrator.