If it is a domain user, check his profile as well for this kind of script. Here will be the reference to the script, and the actual script would be under the sysvol folder from your domain controllers.
I personally worked only with distribution shares, over the network. I presumed it is the same process for CD deployment. For me, nothing worked from the unatended guides until I changed the location of the OEM folder. It was frustrating up to one point. So... my mistake.
Never heard of that before, got a link for this, Doc Sure... http://support.microsoft.com/kb/816299 Here you go. I know, it is for Windows Server 2003, but for me, it worked like that for XP.
I recently tried deploing stuff with $OEM$ folders and I noticed that with my Windows XP, to work, the $OEM$ folder has to be under i386, not aside it. I think I found even some Microsoft docs that stipulates the same thing. Try that as well before you give it up.