Hi Rob,
I had the same problem and could find pieces of information that helped me to apparently solve it.
Go to control panel>system and security>system>edit environment variables
There you have to add to the variable PATH the actual path where the g95/bin folder is at the begining of the variable
c:\g95\bin\
Then you create or edit the G95_LIBRARY_PATH variable including the path of the g95/lib and the path of g95\lib\gcc-lib\i686-pc-mingw32\4.1.2
C:\g95\lib;C:\g95\lib\gcc-lib\i686-pc-mingw32\4.1.2
In my case this solved the problem and I am able to compile the programs in any folder without complains.
Cheers,
Jean