This can happen when there is no Addon Scenery folder present in the main FSX folder, for example:

C:\Program Files (x86)\Microsoft Games\Microsoft Flight Simulator X\Addon Scenery

If the folder is not present then:

1) Create the Addon Scenery folder
2) Inside the Addon Scenery folder, create a scenery folder and a texture folder

Note: the path to the Microsoft Flight Simulator folder is dependent upon where you chose to install it. The above is just the default that FSX Boxed uses.