When attempting to install FME Themes (ArcView Extension), I get the following error: Failed loading FME Objects Interface: unable to load fme.dll. How do I avoid this

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This error occurs when your PATH is not set to include the fme.dll.

You must reboot in order for PATH settings to take effect. The FME Installer will adjust the PATH for you, but then you have to reboot. You can then check to see if it worked by opening a command prompt window, ensuring you are in a directory where there is NO FME, and then typing "fme". You should see the banner.

FME_HOME must also be set, as you guessed, but the issue around it finding the DLL is simply related to PATH.