sp.exe is there.
What's wrong?
This error message appears when SICStus has been compiled using a
different version of libc.so than your machine has
installed. The message "no such file or directory" does not refer to
sp.exe but to the particular libc.so version that SICStus
expects.
SICStus is currently available as binary distributions for
libc.so.6, a.k.a. glibc, versions 2.0, 2.1 and 2.2.
Make sure to download the correct version.