I'm having the same problem on Windows 7 that I had with VISTA before:
I think the "Sage shared library" didn't install correctly.
Imported REX files are saved in a "Virtual Store" Sage folder - but not in the
original Sage folder on my harddrive.
Maybe it's because my Stylus RMX discs are from version 1.2.
Then I updated Stylus to v 1.9 and the data to 1.7.
Anyway - imported REX files were neither recognized in VISTA, nor in Windows 7 now.
Any idea what I am doing wrong here ?