That is because your PowerCMS files and folders are in a directory called 'cms' - lower-case letters.
Your menu is linking to files in a directory called 'CMS' - upper-case letters. Your browser differentiates between upper and lower case, thus the error.
Didi you install with
$WAGLOBAL_localRoot = "/cms/"; /* lower-case */
$WAGLOBAL_remoteRoot = "/cms/"; /* lower-case */
as Cathy advised earlier? The menu must have picked up the Capitalised CMS from somewhere . . .