It means that it is looking for a file and can't find it where it thinks it should be. In general, there are two reasons, the file doesn't exist or it is in the wrong place.
Zen Cart builds the URLs of the files as it needs them. The line that is causing a problem is in includes/modules/pages/index/header_php.php line 49 which reads:
It looks like either your version of this line is incorrect or there is something funky happening in the function that it calls (zen_get_index_filters_directory).
require(DIR_WS_INCLUDES . zen_get_index_filters_directory($typefilter . '_filter.php'));
So, first check this line. Look at the bit that says '_filter.php' in particular. That will be a good start...
Of course you could also try re-uploading this file from a virgin copy of zen cart. But have look first.