A few things you might need to do (I have just follwed this exact method, works a treat)
REname the evoxdash to default.xbe in youre C:\ directory. from what I understand the exploits load default.xbe in you're C:\ root dir.
I used bigfonts25, put bert and ernie in C:\fonts, then renamed the original font files to .xft (left them in C:\fonts) I didn't bother backing up etc, but I have enough box's and chip's lying around to sort myself out (And I had already unlocked and relocked the HD with config magic so I new if worst came to worse I could figure something out).
From what I could tell it doesn't matter where you put raincoat , I tried it in a few diff places, so Long as you can get to it from evox (put the right path in the ini) From what I gather it needed to be in the udata/xxx/0000/xx whatever directory so it could be accessed by a memory card or some such thing, but since this method doesnt necessarily use the memcard technique at all then it;s ok.
From youre description it sounds like the hack is loading (almost loading msdahboard) , but then service warning , I'm fairly sure it's because of the evoxdash.xbe not being called default.xbe , but I could be mistaken - Make a copy of it and rename the copy default.xbe, won't hurt to have a signed evoxdash.xbe as well I guess)
*** THIS IS MY OPINION ONLY, IT MIGHT PAY TO WAIT FOR OTHERS TO COMMENT BEFORE YOU DAMAGE YOU'RE XBOX FURTHER *** If anyone sees flaw in what I've said please feel free to comment.