The blog settings for upload path, fileupload url, and upload url path don't have any effect on where uploaded files are stored and what url rewrite is used for specific blogs in WPMU. (These are hardcoded in wpmu-functions.php and .htaccess)
First off, http://www.myblog.com/blogname/files/2009/02/46image2.jpeg is the rewritten url. This means that this is what appears in the link bar for the blog owner and visitors (think of it like a mask). In reality, the files are actually stored within /wp-content/blogs.dir/blogid/files/, so you should be looking for your image at the following path: /wp-content/blogs.dir/blogid/files/2009/02/46image2.jpeg
If you're having trouble uploading, then at some point, something isn't working. Do you get any other error message? Is the file actually being uploaded? Have you tried using both the flash uploader and non-flash uploader? Can you access the file (real url) directly in your browser? Are permissions set correctly?