It sounds like something with your fixpak directory structure is messed up, but I could be wrong.

First, your F-I directory should be called FIX Rename that directory.

Try the install again. If it doesn't work, you may want to try an different version of the CSF utility. Grab the 144 build from (I know this build works with FP15):

ftp://service.boulder.ibm.com/ps/products/os2/rsu/csf144.zip

Unzip that into its own directory, preserving the directory structure of the ZIP. I generally use the directory: c:\os2serv but you can name it whatever you wish.

Change to that directory in an OS/2 command window (note: do Not use full screen!) and type:

os2serv c:\os2serv\csf c:\ibmfp15 

Of course, modify the directory names to what you've used. It should then start up the "IBM Fixpak Installation XR_M015 utility". It'll search your system for a while and eventually should list something under the "Serviceable products". Select one of those, select the "Advanced" checkbox, and hit "Install". It will then start up the old-fashioned IBM CSF utility that we all know.

If this doesn't work, then something is wrong with your fixpak directory, file or directory names may be incorrect. Try unzipping the original FP15.ZIP again, but perhaps instead of unzipping it on XP and copying it to a CD, maybe try unzipping it directly in OS/2. 

If you need an OS/2 copy of Unzip, you can grab it from Hobbes:

http://hobbes.nmsu.edu/cgi-bin/h-search?sh=1&button=Search&key=unz551x2&stype=all&sort=type&dir=/

Hope this helps.