Thanks for the suggestion Tweakie.
I had another go this morning, uninstalled Mach and ESS, then downloaded and installed them both again. Now ran up to a point.
Finally figured out my problem was with the "wxMach" screen set, causing Windows to close Mach4 down as soon as I went to configure the Mach Inputs (from the ESS). Now using "wx4" screen set and so far it seems O.K.
Frustrating, but I'll get there in the end.
Nick.