Woodymon,
Thanks for your reply and I wasn't aware that Andrew had moved on.
The point I was trying to make is that the setting in the Configuration menu doesn't work. Lets say you set it to write to a subdirectory of feed and your main site install is in /www/ on your system.
The module will quite happily create the 4 xml files in /www/feed but when you open /www/feed/sitemapindex.html you will find that it points to
http://yoururl.com/sitemapproducts.xml not
http://yoururl.com/feed/sitemapproducts.xml, etc.
As I say I have just moved my sitemaps back to my root folder and it is fine. I thought I'd report this issue just in case anyone else was having the same difficulty.